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Review of Ordinary Least Squares and Generalized Least Squares
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alternative American Statistical Association assumed assumption asymptotic covariance matrix asymptotic distribution asymptotically efficient asymptotically normal autocorrelation Chapter characteristic roots consider consistent estimator contemporaneous correlation covariance matrix cross-section degrees of freedom denote dependent variable model diagonal discussed distributed lag Durbin Durbin-Watson Econometrica economic equation error term Exercise explanatory variables feasible generalized least finite heteroscedasticity homoscedasticity Journal of Econometrics lagged dependent variable least squares estimator least squares model least squares residuals likelihood function likelihood ratio linear model linear regression model maximum likelihood estimator mean square error method minimum variance unbiased mixed estimator multicollinearity normal linear regression normally distributed null hypothesis observations obtained ordinary least squares parameter space plim principal components prior information problem procedure random variable regressors restricted least squares risk function Section seemingly unrelated regressions specification stochastic structure test statistic tests of hypotheses Theorem transformation two-step unbiased estimator values variance-covariance matrix Zellner zero mean