A Unified Approach to Asymptotic Equivalence of Aitken and Feasible Aitken Instrumental Variables Estimators

DOI10.2307/2527005zbMath0807.62023OpenAlexW2062007221MaRDI QIDQ4320064

Carlos Martins-Filho, David M. Mandy

Publication date: 15 January 1995

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ca6fa254d0094ee989a4131c5eacb098d76435c9

zbMATH Keywords

linear modelssufficient conditionsasymptotic equivalenceerror structuresAitken estimatorsnonscalar identity error covariance matrices

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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