On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors (Q2266321): Difference between revisions
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Revision as of 07:30, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors |
scientific article |
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On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors (English)
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1984
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This paper investigates the performance of biased estimators in the linear regression model when the assumption of homoscedasticity is not satisfied. Conditions are derived which show when OLS and GLS are dominated by shrinkage estimators with respect to various mean square error criteria. Specific attention is paid to the case when the covariance matrix of the disturbances is not completely known.
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correlated errors
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generalized least squares estimator
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ordinary least squares estimator
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heteroscedastic errors
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biased estimators
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shrinkage estimators
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mean square error criteria
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