More on the pre-test estimator in ridge regression

The problem of estimation of the regression coefficients in a multiple regression model is considered under a multicollinearity situation when it is suspected that the regression coefficients may be restricted to a subspace. The objective of this paper is to compare the usual preliminary test estimator and the preliminary test ridge regression estimator in the sense of the dispersion matrix of one dominating that of the other. In particular we proved two results giving necessary and sufficient conditions for the superiority of the preliminary test ridge regression estimator over the preliminary test estimator associated with the ? = 0 (or ? = 0) and ? ? 0 (or ? ? 0). Copyright © 2002 by Marcel Dekker, Inc