Macroeconomic model reference

Ridge regression Model

L2-penalized linear regression -- shrinks coefficients toward zero to stabilize forecasts when predictors are many or collinear.

Empirical forecasting models · Sources

Ridge regression sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the Ridge regression page.

Reference material used for orientation; read primary and academic sources first when claims conflict.

[S1] Reference
Hoerl, Kennard (1970) --- introduced ridge regression, proved MSE improvement over OLS under collinearity
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[S2] Reference
Golub, Heath, Wahba (1979) --- generalized cross-validation for selecting the penalty parameter
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[S3] Reference
De Mol, Giannone, Reichlin (2008) --- ridge regression as a Bayesian shrinkage alternative to factor models for macro forecasting
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[S4] Reference
Plagborg-Moller, Wolf (2021) --- ridge-regularized local projections for impulse response estimation
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[S5] Reference
Hastie, Tibshirani, Friedman (2009, Ch. 3) --- textbook treatment embedding ridge in the penalized regression family
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