Two-stage shrunken least squares estimator and its superiority

Quanhong Song, Lichun Wang and Liqun Wang

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 19, 6717-6731

Abstract: In linear regression model, the superiority of ordinary least squares estimator (OLSE) will be failed when there exist multi-collinearity problems. Based on the class of generalized shrunken least squares (GSLS) estimators suggested by Wang (1990), this article proposes a two-stage shrunken least squares estimator and discusses its superiority theoretically, and finally verifies the results by numerical simulations.

Date: 2024
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DOI: 10.1080/03610926.2023.2250487

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