[R] lm.ridge in library(MASS) produces inconsistent parameter estimates as compared to matrix algebra

Georg D. Blind georg.blind at gmx.net
Fri May 28 18:38:21 CEST 2010

Dear all,

using the hkb estimator obtained from lm.ridge in the below equation
(Formula 6 from this article:

beta^hat(k) = ((x'x + kI)^-1)x'y, where
x matrix of independent variables
y vector of dependent variables
k hkb estimator
I identity

then I am getting smaller coefficient estimates than from within 
lm.ridge. The difference is not due to lm.ridge$scales.

Any hints as to this?
Thank you and kind regards.


Georg Blind M.Sc. (Econ.), M.A. (Japanese Studies)
Email: georg.blind at gmx.net

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