Hi! I tried running generalized ridge regression using Stata code by
Bob Obenchain but Stata still continued to drop variables in the
regession. I checked and found out that Stata drops variables only if
there are linear dependencies in the data. How can this be when I'm
already doing ridge regression? Isn't it the case that even if I use
the most inappropriate ridge parameter values, I'd still won't get
signs of linear dependencies in my runs?
Jade
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