Hello, I tried to perform a simple ridge regression in SAS, but I am a bit confused by the results, since they do not correspond with the results in R or even with the results in proc IML, if I do the estimation by hand. The formula I used is beta =  inv(T(X) * X + delta) * (T(X) * Y) , where delta is the penalty matrix with the ridge parameters on the diagonal. I have used the following code: /*Ridge regression*/ proc reg data=ridgedat outvif outest=ridge1_est ridge=0.4; ods select collindiag; ods output collindiag=ridge1_eigenvalues; ridge1: model y = x1 x2 x3 x4 x5 x6 ; proc print data=ridge1_est noobs; var _type_ intercept x1 x2 x3 x4 x5 x6; run; /*Ridge regression by hand*/ proc iml;         USE work.ridgedat;            /* Open data set for reading */         READ ALL var {x1 x2 x3 x4 x5 x6} INTO X;    /* Place independent variables into X */         READ ALL var {y} INTO y;        /* Place dependent variable into Y */                                CLOSE work.ridgedat;            /* Close data set */         X = J(nrow(X),1,1) || X;        /* Add col with 1s for estimating the intercept to the X matrix */                 /*Create diagonal matrix for the ridge parameter*/             ridge = J(1,ncol(X),0.4);                delta = diag(ridge);         /*Calculate paramter*/             b =  inv(T(X) * X + delta) * (T(X) * y) ;         PRINT b; run; The results: As it can be seen, the values differ significantly. What happens? What is doing the ridge regression in proc reg? Sadly it is a black box, but maybe somone can enlighten me. The data are attached, the x variables are standardized with mean 0 and sd 1. Cheers, Ben ... View more