The purpose of this work is to develop a leading indicator for the Imacec, a monthly indicator of the Chilean economic activity. The indicator proposed herein is based on the classical methodology of the NBER, but with one major difference: the use of a Ridge regression to aggregate the series....

A common problem in econometric models and multiple regression in general is multicollinearity, which produces undesirable effects on the Least Squares estimators. A possible solution to this problem is the "Ridge" Regression estimator proposed by Hoerl and Kennard (1970). Ridge Regression has...

In this article we derive the density and distribution functions of the stochastic shrinkage parameters of three well-known operational Ridge Regression estimators by assuming normality. The stochastic behavior of these parameters is likely to affect the properties of the resulting Ridge...