| S. E. Ahmed, University of Regina Christopher Nicol, University of Regina |
| Shrinkage Estimators for the Nonlinear Regression Model |
| Session: C-8-10 Monday 14 August 2000 by Nicol, Christopher |
| In this paper, we discuss various large sample estimation techniques in a nonlinear regression model. We propose estimators on the basis of preliminary tests of significance and James-Stein rule. The properties of these estimators are studied in the problem of estimating regression coefficients in the multiple regression model when it is a priori suspected that the coefficients may be restricted to a subspace. A simulation based on a demand for money model shows the superiority of the positive-part shrinkage estimator over a range of economically meaningful parameter values. This indicates that this estimator can be usefully employed in important practical situations. |
| Submitted paper full-text in .pdf |