Kasarda, John D.; Shih, Wen-Fu P. - In: Sociological Methods & Research 5 (1977) 4, pp. 461-470
Ridge regression, based on adding a smally quantity, k, to the diagonal of a correlation matrix of highly collinear independent variables, can reduce the error variance of estimators, but at the expense of introducing bias. Because bias is a monotonic increasing function of k, the problem of the...