  We present a formula for the shrinkage factors of the Partial Least Squares
regression estimator and deduce some of their properties, in particular the
known fact that some of the factors are >1. We investigate the effect of
shrinkage factors for the Mean Squared error of linear estimators and
illustrate that we cannot extend the results to nonlinear estimators. In
particular, shrinkage factors >1 do not automatically lead to a poorer Mean
Squared Error. We investigate empirically the effect of bounding the the
absolute value of the Partial Least Squares shrinkage factors by 1.
