The present paper uses small-sigma asymptotics to show that in general the shrinkage estimators have superior properties among the individual least squares estimators, the simple average estimators, the weighted average estimators, estimators obtained by shrinking towards the simple average, and...

We investigate a class of estimators for linear regression models where the dependent variable is subject to bid-ask censoring. Our estimation method is based on a definition of error that is zero when the predictor lies between the actual bid price and ask price, and linear outside this range....