Hi all, I have run a ridge regression as follows:
reg=lm.ridge(final$l~final$lag1+final$lag2+final$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 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. [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.