Adding regressors to obtain efficiency

DOI10.1017/S0266466608090567MaRDI QIDQ3551025zbMATH OpenOpenAlexFDO

Authors Sung Jae Jun, Joris Pinkse

Publication date 8 April 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608090567

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05)

Recommendations

• Redundancy of lagged regressors revisited
• Efficiency gains in least squares estimation: a new approach
• Efficient estimates in linear and nonlinear regression with heteroscedastic errors
• Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

Cites work

• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Estimation of Regression Coefficients of Interest when Other Regression Coefficients are of no Interest
• IV.—On Least Squares and Linear Combination of Observations

Cited in

(5)

• On equivalence of predictors/estimators under a multivariate general linear model with augmentation
• Statistical analysis of a linear regression model with restrictions and superfluous variables
• Does sequential augmenting of simple linear heteroscedastic regression reduce variances of ordinary least-squares estimators?
• A comparison between two competing fixed parameter constrained general linear models with new regressors
• Further remarks on constrained over-parameterized linear models

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