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On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors

โœ Scribed by G. Trenkler

Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
88 KB
Volume
25
Category
Article
ISSN
0304-4076

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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