REVSTAT-STATISTICAL JOURNAL, vol.15, no.2, pp.251-276, 2017 (SCI-Expanded)
We suggest pretest and shrinkage ridge estimation strategies for linear regression models. We investigate the asymptotic properties of suggested estimators. Further, a Monte Carlo simulation study is conducted to assess the relative performance of the listed estimators. Also, we numerically compare their performance with Lasso, adaptive Lasso and SCAD strategies. Finally, a real data example is presented to illustrate the usefulness of the suggested methods.