Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: can stata perform ridge regression

From   "Scott Merryman" <[email protected]>
To   <[email protected]>
Subject   Re: st: can stata perform ridge regression
Date   Sun, 14 Mar 2004 17:39:30 -0600

----- Original Message ----- 
From: "Richard Williams" <[email protected]>
To: <[email protected]>; <[email protected]>
Sent: Saturday, March 13, 2004 9:06 AM
Subject: Re: st: can stata perform ridge regression

> At 10:14 PM 2/13/2004 +0800, rghuang wrote:
> >when multicollinearity,it is not suitable to use ols regression.but can
> >use ridge regression,can stata do it?if it can not,how stata deal with
> >multicollinearity?
> First off, it is still suitable to use OLS.  Estimates remain
> unbiased.  There is almost always some degree of multicollinearity, so how
> problematic multicollineairity is depends on how extreme it is.
> -findit ridge regression- yields a few hits; I can't vouch for how good
> they work.  Greene notes in his Econometric Analysis, 4th edition, p. 258
> that ridge regression produces biased estimators and hence has seen little
> practical use.
> For some general discussions on diagnosing and dealing with
> multicollinearity, see
> There have also been some recent discussions of multicollinearity on
> Statalist; search the archives.

In addition, there was a discussion of ridge regression last November.  The ado
files to preform ridge regession have been updated for version 7+ (but these
will not showup using -findit-).  See the message from May Boggess at for more details.


*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index