Linear restrictions and two step least squares with applications (Q800671)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear restrictions and two step least squares with applications |
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Linear restrictions and two step least squares with applications (English)
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1984
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In this paper we consider the full rank regression model with arbitrary covariance matrix: \(Y=X\beta +\epsilon\). It is shown that the effect of restricting the information Y to \(T=A'Y\) may be analyzed through an associated regression problem which is amenable to solution by two step least squares. The results are applied to the important case of missing observations, where some classical results are rederived.
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linear restrictions
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linear models
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influential data
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dummy variables
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full rank regression model
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arbitrary covariance matrix
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two step least squares
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missing observations
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