Short Note on Ridge Regression

Introduction I am doing a couple of assignments involving penalized estimators such as Ridge regression, and I wanted to do a short derivation of its asymptotic covariance. In comparison to the existing resources which I could find, some details are left out, which I wanted to recapitulate more clearly. I’ll also contrast the variance of the Ridge estimator to the variance of the OLS estimator, illustrating a fact that also comes to the surface in many other resources, namely that the variance of the Ridge estimator is smaller than that of the OLS estimator.

By Bas Machielsen

November 23, 2022

Equilibrium in the Besley-Case (1995) Model

A post about the Besley & Case (1995) Model. It explains my view on how to computationally calculate the equilibrium, which is left undetailed in the paper.

By Bas Machielsen

May 19, 2022