Multicollinearity problem arises in the case of near-linear dependencies among the independent (explanatory) variables. Ridge regression based on different shrinkage parameters is a commonly used method for solving this problem. There are many shrinkage parameters; therefore, the proper selection of the shrinkage parameters is important. In this study, we investigated the popular shrinkage parameters and compared them by means of a simulation study in terms of Mean Square Error. Furthermore, a test statistic for Ridge estimator was analyzed for comparing these parameters through simulation.