AMEMIYA'S FORM OF THE WEIGHTED LEAST SQUARES ESTIMATOR
✍ Scribed by Koenker, Roger ;Machado, José A.F. ;Skeels, Christopher L. ;Welsh, A.H.
- Book ID
- 115210773
- Publisher
- Wiley (Blackwell Publishing)
- Year
- 1993
- Tongue
- English
- Weight
- 948 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0004-9581
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📜 SIMILAR VOLUMES
The tail behavior of the least-squares estimator in the linear regression model was studied in He et al. (Econometrica 58 (1990) 1195) under a ÿxed design for ÿnite n. We now consider a random design matrix Xn and the case n → ∞ and study the probability P 0 (max16i6n |x i Rn | ¿ n) with n = F -1 (1
For a p-dimensional normal distribution with mean vector % and covariance matrix I p , it is known that the maximum likelihood estimator % of % with p 3 is inadmissible under the squared loss. The present paper considers possible extensions of the result to the case where the loss is a member of a g