Generalized least squares estimation of the functional multivariate linear errors-in-variables model (Q1090032)

The method of generalized least squares is applied to the sample matrix of mean squares and products to obtain estimators of the parameters of the functional multivariate linear errors-in-variables model. These estimators are shown to be consistent and asymptotically multivariate normal. Relationships between generalized least squares estimation of the functional model and of the structural model are demonstrated and it is shown that estimators constructed assuming normality of the x's are also appropriate for fixed x.