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- Title
ON THE ASYMPTOTIC EFFICIENCY OF FEASIBLE AITKEN ESTIMATORS FOR SEEMINGLY UNRELATED REGRESSION MODELS WITH ERROR COMPONENTS.
- Authors
Prucha, Ingmar R.
- Abstract
The article comments on the asymptotic efficiency of feasible generalized least squares (GLS) estimator for seemingly unrelated regression model with error components. It provides a general theorem which demonstrates the asymptotic equivalence of a wide class of feasible GLS estimators with the true GLS estimator and therefore with the seemingly unrelated dummy variable estimator. The theorem is considered for a seemingly unrelated regression model with error components (ECSUR) model. The article suggests that any feasible GLS estimator for the ECSUR model that is of interest will fall into the class.
- Subjects
ASYMPTOTIC theory in estimation theory; ASYMPTOTIC theory in econometrics; REGRESSION analysis; STOCHASTIC processes; ESTIMATION theory; MATHEMATICAL statistics; LEAST squares; PROBABILITY theory; ANALYSIS of variance; STATISTICAL hypothesis testing; STATISTICAL correlation; MATHEMATICAL variables
- Publication
Econometrica, 1984, Vol 52, Issue 1, p203
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/1911468