A New Two-Parameter Estimator in Linear Regression

This article is concerned with the parameter estimation in linear regression model. To overcome the multicollinearity problem, a new two-parameter estimator is proposed. This new estimator is a general estimator which includes the ordinary least squares (OLS) estimator, the ridge regression (RR) estimator, and the Liu estimator as special cases. Necessary and sufficient conditions for the superiority of the new estimator over the OLS, RR, Liu estimators, and the two-parameter estimator proposed by Ozkale and Kaciranlar (2007 Ozkale , M. R. , Kaciranlar , S. ( 2007 ). The restricted and unrestricted two-parameter estimators . Commun. Statist. Theor. Meth. 36 : 2707 – 2725 .Taylor & Francis Online], Web of Science ®] , Google Scholar]) in the mean squared error matrix (MSEM) sense are derived. Furthermore, we obtain the estimators of the biasing parameters and give a numerical example to illustrate some of the theoretical results.