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Shrinkage Estimation in the Random Parameters Logit Model

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Abstract

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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  • R. Carter Hill & Tong Zeng, 2014. "Shrinkage Estimation in the Random Parameters Logit Model," Departmental Working Papers 2014-11, Department of Economics, Louisiana State University.
    • Handle: RePEc:lsu:lsuwpp:2014-11
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    File URL: https://www.lsu.edu/business/economics/files/workingpapers/pap14_11.pdf
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    1. Bhat, Chandra R., 2001. "Quasi-random maximum simulated likelihood estimation of the mixed multinomial logit model," Transportation Research Part B: Methodological, Elsevier, vol. 35(7), pages 677-693, August.
    2. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555, January.
    3. Kim, Minbo & CarterHill, R., 1995. "Shrinkage estimation in nonlinear regression The Box-Cox transformation," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 1-33.
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