SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS

Keith Knight

Econometric Theory, 2008, vol. 24, issue 2, 323-337

Abstract: Shrinkage estimation procedures such as ridge regression and the lasso have been proposed for stabilizing estimation in linear models when high collinearity exists in the design. In this paper, we consider asymptotic properties of shrinkage estimators in the case of “nearly singular” designs.I thank Hannes Leeb and Benedikt Pötscher and also the referees for their valuable comments. This research was supported by a grant from the Natural Sciences and Engineering Research Council of Canada.

Date: 2008
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