Asymptotic Distribution of the Hildreth-Houck Estimator

DOI10.2307/2288072zbMath0562.62058OpenAlexW4247646382MaRDI QIDQ3675354

Patrick W. Crockett

Publication date: 1985

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2288072

zbMATH Keywords

asymptotic normalityheteroscedasticityweighted least squares estimatorstwo-stage estimatorestimated weightsCarroll-Ruppert theoremHildreth-Houck estimatorsrandom-coefficients regression model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

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Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications

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