Estimated Generalized Least Squares for Random Coefficient Regression Models

DOI10.1111/1467-9469.00135zbMATH Open0921.62069OpenAlexW2144114464MaRDI QIDQ4255154FDOQ4255154

Authors: Vo V. Anh, Thivvianesan Chelliah 

Publication date: 10 August 1999

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00135

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zbMATH Keywords

asymptotic propertiesrandom coefficientsgeneralized least squarespooled time series cross-sectional datatests for non-randomness

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Cited In (8)

• The least-squares criteria of the random coefficient dynamic regression model
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• Simultaneous equations with random coefficients: Estimating the structural form
• Approaches to regression analysis with multiple measurements from individual sampling units
• Finite sample properties of the random coefficients regression model
• Estimation of covariance components for random-walk regression parameters
• A Comparison of Noniterative Generalized Least Squares and Iterative Maximum Likelihood Estimators When Testing Hypotheses in Random Coefficient Growth Curve Models
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