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help for ^rxrsimu^     					  STB-28: sg45
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Generalized ridge regression: simulated losses
----------------------------------------------

	^matrix^ ^rxsigma^ ^=^ ^(^#^)^

	^matrix^ ^rxgamma^ ^=^ ^(^#,...,#^)^

        ^rxrsimu^ depvar varlist [^if^ exp] [^in^ range] 
                [^,^ ^m^steps^(^#^)^ ^q^shape^(^#^)^ ^r^escale^(^#^)^ ^s^tart^(^#^)^ ^t^ol^(^#^)^ ]


To reset problem-size limits, see ^help matsize^.


Description
-----------

^rxrsimu^ simulates normal-theory response values (in a variable named ^ysim^)
when the true sigma (standard deviation of errors) and the true gammas
(uncorrelated components) are assumed known values and then calculates the
true losses associated with generalized ridge shrinkage.


Options
-------

^msteps(^#^)^ specifies the number of steps per unit increase in ^MCAL^, the multi-
    collinearity allowance parameter; the default value is 4.  The total number
    of steps along the generalized shrinkage path from the least squares solu-
    tion (^MCAL^=0) to all zero coefficients (^MCAL^=p) will thus be 1+(msteps*p).

^qshape(^#^)^ controls the shape (or curvature) of the generalized shrinkage
    path through likelihood space; the default value is 0, which yields Hoerl-
    Kennard "ordinary" ridge regression.  ^qshape^=1 yields uniform shrinkage,
    and all ^qshape^ values between -5 and 5 are allowed.

^rescale(^#^)^ controls the scaling of the response variable and all p
    predictor variables in the ^varlist^.  The default value is ^rescale^=1 to
    scale all centered variables to have sample variance 1.  ^rescale^=0 should
    be specified to retain the original scalings.

^start(^#^)^ controls Stata's uniform() random number seed value, and the ^rxrsimu^
    default value is 12345.  If you make repeated ^rxrsimu^ runs without changing
    this seed, you will get the same pseudo-random values each time.  When you
    do change ^start^, make it large, positive and odd.

^tol(^#^)^ specifies search convergence criterion and defaults to 0.01.


Example
-------

 . ^matrix rxsigma = (.5)^               ...Specify true std.dev. of error terms
 . ^matrix rxgamma = (-.5,.1,-.1,-.4)^
                             ...Specify true values of uncorrelated components
 . ^rxrsimu mpg cylnds cubins hpower weight, q(-1)^
                     ...Simulate responses and calculate true shrinkage losses


Author
------

        Robert L. Obenchain
        Eli Lilly and Company


Also see
--------

    STB:  STB-28 sg45
On-line:  ^help^ for @rxrrisk@ and @rxridge@

