Dear community members, I am using PROC REG with the REG= option to obtain a ridge regression. I have done the following; Plotted the ridge estimates against λ. Chosen λ for which the coefficient estimates are not rapidly changing and have sensible signs. I know this method has no specific objective basis and is heavily criticised by others. However my question is as follows, how can I get the p values, t values and standard errors for my selected choice of λ ? I seem only to get the regression coefficients which are different from the ridge regression that was un tuned for λ. Any help will be greatly appreciated Best , Ka
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