Best quadratic unbiased estimators of the variance-covariance matrix in normal regression

DOI10.1016/0304-4076(73)90003-1zbMath0323.62040OpenAlexW2066577341MaRDI QIDQ1224396

Pietro Balestra

Publication date: 1973

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(73)90003-1

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Multivariate analysis (62H99) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items

Useful matrix transformations for panel data analysis: a survey ⋮ The spectral decomposition of covariance matrices for the variance components models ⋮ Optimization of functions of matrices with an application in statistics ⋮ Pooling cross sections with unequal time-series lengths ⋮ The spectral decomposition of a covariance matrix for the balanced mixed analysis of variance model ⋮ Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood ⋮ Moments for matrix normal variables ⋮ Estimation of the error-components model with incomplete panels ⋮ The error components regression model: conditional relative efficiency comparisons ⋮ Best quadratic unbiased estimation of the variance matrix in normal regression ⋮ Linear sufficiency and some applications in multilinear estimation

Cites Work

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• On Canonical Forms, Non-Negative Covariance Matrices and Best and Simple Least Squares Linear Estimators in Linear Models
• The Use of Error Components Models in Combining Cross Section with Time Series Data
• Generalized Least Squares with an Estimated Variance Covariance Matrix
• A Note on Error Components Models
• On the Efficiency of Ordinary Least-Squares in Regression Models
• The Estimation of the Variances in a Variance-Components Model
• Best Linear Minimum Bias Estimation in Linear Regression
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias