Hi all,
I have run a ridge regression as follows:
reg=lm.ridge(final$l~final$lag1+final$lag2+final$g+final$g+final$u,
lambda=seq(0,10,0.01))
Then I enter :
select(reg) and it returns: modified HKB estimator is 19.3409
modified L-W estimator is 36.18617
smallest value of GCV at 10
I think it means that it is advisable to use the results of regression
corresponding to lambda= 10;
so the next thing I do is:
reg=lm.ridge(final$l~final$lag1+final$lag2+final$g+final$u, lambda=10)
which yields:
final$lag1 final$lag2 final$g
final$u
3.147255e-04 1.802505e-01 -4.461005e-02 -1.728046e-09 -5.154932e-04
If I am to use these coefficient values later in my analysis, how do I call
them; for clearly reg$final$lag1 does not work.
1> Any way I can access these values?
2> The main issue is that I want to access these coefficient values
automatically, i.e. R should run the regression and automatically provide
me these values after taking into consideration that lambda which minimizes
the GCV. Kindly advise me how I can proceed.
Thanks and regards,
Preetam
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year, Room No. N-114
Statistics Division, C.V.Raman
Hall
Indian Statistical Institute, B.H.O.S.
Kolkata.
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