10-22-2014 05:48 PM
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*/
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