A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model

DOI10.2307/1911315zbMATH Open0625.62023OpenAlexW2115662514MaRDI QIDQ3028091FDOQ3028091

Authors: Donald W. K. Andrews 

Publication date: 1986

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0734-r.pdf

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zbMATH Keywords

linear modelrobust estimationunbiasednessadaptive estimationgeneralized least squaresquasi-maximum likelihoodL-estimatorsR-estimatorsM- estimatorsspectral estimatorssymmetric estimationmatrix of instrumental variablesorigin equivariant

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Linear inference, regression (62J99) Robustness and adaptive procedures (parametric inference) (62F35)

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