Timeline for Dealing with correlated regressors
Current License: CC BY-SA 2.5
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| Oct 13, 2010 at 19:44 | history | edited | Brett | CC BY-SA 2.5 |
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| Oct 13, 2010 at 18:22 | comment | added | chl | (+1) Now, the problem is that the OP didn't indicate how many variables enter the model, because in case they are numerous it might be better to do both shrinkage and variable selection, through e.g. the elasticnet criterion (which is combination of Lasso and Ridge penalties). | |
| Oct 13, 2010 at 18:12 | history | answered | Brett | CC BY-SA 2.5 |