Shrinkage Estimation in the Random Parameters Logit Model

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.

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Authors:	Hill, R. Carter ; Zeng, Tong
Institutions:	Department of Economics, Ourso College of Business

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010891146