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matrix
USE 'C:\SYSTAT7\DATA\LONGLEY.SYD'
format 11 7
mat y = longley(;total)
mat x = longley(;deflator..time)
mat y = colzsc(y)
mat x = colzsc(x)
mat xpx = trp(x)*x/(nrow(x)-1)
mat xpy = trp(x)*y/(nrow(x)-1)
sho xpx
sho xpy
mat beta = inv(xpx)*xpy
sho beta
mat ridge = i(6)
mat betar = inv(xpx+ridge#0.01)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.02)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.03)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.04)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.05)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.06)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.07)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.08)*xpy
mat beta = beta||betar
mat betar = inv(xpx+ridge#0.09)*xpy
mat beta = beta||betar
mat beta = trp(beta)
mat ridge = [0.0; 0.01; 0.02; 0.03; 0.04; 0.05; 0.06; 0.07; 0.08;,
0.09]
colname ridge = ridge
mat beta = beta||ridge
show beta
format
save beta
use beta
plot deflator..time*ridge/overlay line xmin=-0.01 xmax=0.1 ymin=-1.1 ymax=2.5,
stick xlim=0 xlabel='Ridge Factor',
ylim=0 ylabel='Estimate of Beta'