Reference sources

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

1. [S1] Reference

   Hoerl, Kennard (1970) --- introduced ridge regression, proved MSE improvement over OLS under collinearity

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2. [S2] Reference

   Golub, Heath, Wahba (1979) --- generalized cross-validation for selecting the penalty parameter

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3. [S3] Reference

   De Mol, Giannone, Reichlin (2008) --- ridge regression as a Bayesian shrinkage alternative to factor models for macro forecasting

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4. [S4] Reference

   Plagborg-Moller, Wolf (2021) --- ridge-regularized local projections for impulse response estimation

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5. [S5] Reference

   Hastie, Tibshirani, Friedman (2009, Ch. 3) --- textbook treatment embedding ridge in the penalized regression family

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