Comparison of Ridge Estimates with OLS Estimates of Full and Reduced Models

 
Standardized Coefficients for the Longley Data (Dependent Variable TOTAL)
Indpendent Variable OLS (full model) OLS (reduced model) Ridge (R=0.03)
CONSTANT
.000
.000
--
DEFLATOR
.046
--
.263
GNP
-1.014
--
.335
UNEMPLOY
-.538
-.391
-.262
ARMFORCE
-.205
-.153
-.090
POPULATN
-.101
--
.202
TIME
2.480
1.297
.378

Note how the ridge estimator seems to "spread out" the effect over all the independent variables.


Last modified 11 Apr 2002