THE GENERAL EXPRESSIONS FOR THE MOMENTS OF LAWLESS AND WANG ORDINARY RIDGE-REGRESSION ESTIMATOR

In this paper, we derive the exact general expressions for the moments of an ordinary ridge regression (ORR) estimator for individual regression coefficients in a different-way from Firinguetti (1987). Using the derived expressions, we evaluate numerically the first four moments of the ORR estimator, and examine its bias, mean square error, skewness and kurtosis. Further, Monte Carlo experiments are carried out in order to examine the shape of the density function of the ORR estimator.