This paper considers the estimation of the parameters of an ANOVA model when sparsity is suspected. Accordingly, we consider the least square estimator (LSE), restricted LSE, preliminary test and Stein-type estimators, together with three penalty estimators, namely, the ridge estimator, subset selection rules
(hard threshold estimator) and the LASSO (soft threshold estimator). We compare and contrast the L2-risk of all the estimators with the lower bound of L2-risk of LASSO in a family of diagonal projection scheme which is also the lower bound of the exact L2-risk of LASSO. The result of this comparison is that neither LASSO nor the LSE, preliminary test, and Stein-type estimators outperform each other uniformly. However, when the model is sparse, LASSO outperforms all estimators except “ridge” estimator since both LASSO and ridge are L2-risk
equivalent under sparsity. We also find that LASSO and the restricted LSE are L2-risk equivalent and both outperform all estimators (except ridge) depending on the dimension of sparsity. Finally, ridge estimator outperforms all estimators uniformly. Our finding are based on L2-risk of estimators and lower bound of the
risk of LASSO together with tables of efficiency and graphical display of efficiency and not based on simulation.