On the Asymptotic Relative Efficiency of Gaussian and Least Squares Estimators for Vector ARMA Models

On the Efficiencies of Several Generaliz

On the Efficiencies of Several Generalized Least Squares Estimators in a Seemingly Unrelated Regression Model and a Heteroscedastic Model

✍ Hiroshi Kurata 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 102 KB

This paper investigates the efficiencies of several generalized least squares estimators (GLSEs) in terms of the covariance matrix. Two models are analyzed: a seemingly unrelated regression model and a heteroscedastic model. In both models, we define a class of unbiased GLSEs and show that their cov