SteffenMoritz/ridge

Panel Data Ridge Regression?

Opened this issue · 5 comments

tallysfeldens commented

Hello Steffen, How are you doing?

Thanks for keeping this package.

I'm thinking of using your package for a set of panel data, 30 years, 38 c_id.

Your package can be used for such setting?
Thank you very much

SteffenMoritz commented

Hello Tallys,

I am doing fine, thanks for asking.
About your question:
Well, depends on what you are trying to do and how you want to model things.
I guess could probably use linearRidge() whenever you would call lm().

But of course the ridge package isn't made especially for Panel Data.
You might want to take a look at the plm package if you don't know it yet:
https://cran.r-project.org/web/packages/plm/index.html

tallysfeldens commented

Thanks for answering me so fast!

I should have been more specific, I'm sorry about that.
I've estimated a translog production function using plm, but due to its functional form my data suffer from multicollinearity and I have to re-estimate it using ridge regression.

Do your think I would have any issues using your package for this?

SteffenMoritz commented

What was the exact call you used in plm? (formula and parameter options)

tallysfeldens commented
SteffenMoritz commented

Can't you just use your plm call/formula with ridge? What does the model look like (coefficents, metrics, ... ) in comparison to the plm output?