Linear Shrinkage and Shrinkage Pretest Strategies in Partially Linear Models

Abstract

In this paper, we improved the efficiency of parameter estimation in partially linear models, where subspace information is available. We proposed linear shrinkage and shrinkage pretest estimation strategies. The asymptotic distributional risk of the proposed estimators was examined. We also conducted a Monte Carlo simulation to evaluate the risk performance of the estimators. The proposed estimators performed better than the unrestricted estimator. A real data example was used to illustrated the application of the proposed estimators.