Shrinkage Estimation in the Random Parameters Logit Model

Carter Hill and Tong Zeng

Departmental Working Papers from Department of Economics, Louisiana State University

Abstract: We explore the properties of a Stein-like shrinkage estimator that combines the fully correlated and uncorrelated Random Parameters Logit model(RPLM). Monte Carlo experiments show that shrinkage and pretest estimators can improve upon the fully correlated RPLM estimator.

Date: 2014-11
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:lsu:lsuwpp:2014-11

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