Programming the statistical procedures from SAS

How to use ridge regression in PROC AUTOREG due to multicolinearity?

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How to use ridge regression in PROC AUTOREG due to multicolinearity?

How to use ridge regression in PROC AUTOREG due to multicolinearity?

I do want to keep model like mean_x=  x1  x2 for lag analysis.

PROC AUTOREG DATA = data1

MODEL mean_x=  x1  x2  ;

OUTPUT OUT = OUT1  R = e0; /*output residuals*/

RUN;

I have message from SAS: 

NOTE: Model is not full rank. OLS estimates for the parameters are not unique. Some statistics will be misleading. A reported DF of 0 or B means that the estimate is biased. The parameter estimate for the following LHS variable is set to 0, since this variable is a linear combination of other RHS variables as shown.

x1=  56.1234 * Intercept + 0.5468 *   x2


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