longley2

Data from the "Employment and Training Report of the President, 1976"
 compiled by Art Hoerl, University of Delaware. This data.frame contains some slightly
 different (corrected) numerical values from those used by Longley(1967) plus the added
 years of 1963-1975. Longley(1967) used only data from the 16 years of 1947 through 1962.

datasets

Functions are provided to calculate and display ridge TRACE diagnostics for a
wide variety of alternative shrinkage Paths. While all methods focus on Maximum Likelihood
estimation of unknown true effects under Normal-distribution theory, some estimates are
modified to be Unbiased or to have "Correct Range" when estimating either [1] the noncentrality
of the F-ratio for testing that true Beta coefficients are Zeros or [2] the "relative" MSE
Risk (i.e. MSE divided by true sigma-square, where the "relative" variance of OLS is known.)
The unr.ridge() function implements the "Unrestricted Path" introduced in Obenchain (2020)
<arXiv:2005.14291>. This "new" p-parameter Shrinkage-Path is more efficient than the Paths
used by qm.ridge(), aug.lars() and uc.lars(). Functions unr.aug() and unr.biv() augment the
calculations made by unr.ridge() to provide plots of the bivariate confidence ellipses
corresponding to any of the p*(p-1) possible pairs of shrunken regression coefficients.

Bob Obenchain

RXshrink

Maximum Likelihood Shrinkage using Generalized Ridge or Least
Angle Regression Methods

longley2 function

A data.frame of 7 variables covering 29 consecutive years; no NAs.<dl class="dl-horizontal">
 <dt>GNP.deflator</dt><dd>GNP price deflation index.</dd>
 <dt>Unemployed</dt><dd>Unemployment percentage.</dd>
 <dt>Armed.Forces</dt><dd>Size of the Armed Forces.</dd>
 <dt>Population</dt><dd>Total U.S. Population.</dd>
 <dt>Year</dt><dd>1947 to 1975.</dd>
 <dt>Employed</dt><dd>employment.</dd>
 <dt>GNP</dt><dd>Gross National Product.</dd>
 </dl>

Format

Art Hoerl's update of the infamous Longley(1967) benchmark dataset — longley2

A data.frame of 7 variables covering 29 consecutive years; no NAs.<dl class='dl-horizontal'>
 <dt>GNP.deflator</dt><dd>GNP price deflation index.</dd>
 <dt>Unemployed</dt><dd>Unemployment percentage.</dd>
 <dt>Armed.Forces</dt><dd>Size of the Armed Forces.</dd>
 <dt>Population</dt><dd>Total U.S. Population.</dd>
 <dt>Year</dt><dd>1947 to 1975.</dd>
 <dt>Employed</dt><dd>employment.</dd>
 <dt>GNP</dt><dd>Gross National Product.</dd>
 </dl>

longley2: Art Hoerl's update of the infamous Longley(1967) benchmark dataset

Description

Usage

Arguments

Format

References