The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 1977, Volume 45, Issue 5
https://doi.org/0012-9682(197707)45:5<1279:AOPASE>2.0.CO;2-S
p. 1279-1288
Dennis J. Aigner, George G. Judge
A limiting feature of several theoretically superior "shrinkage" estimators for the linear regression model lies in the fact that there must be a certain degree of orthogonality in regressors in order for them to dominate the ordinary least squares estimator. In this paper we apply variants of pre-test and Stein estimators to data on international trade, and discuss their merits in light of the limitations imposed by the non-orthogonality of these and other sets of economic data.
