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

DOI10.2307/2527005zbMATH Open0807.62023OpenAlexW2062007221MaRDI QIDQ4320064FDOQ4320064

Authors: Carlos Martins-Filho, D. 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

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zbMATH Keywords

linear modelsasymptotic equivalencesufficient conditionserror structuresAitken estimatorsnonscalar identity error covariance matrices

Mathematics Subject Classification ID

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

Cited In (5)

• Rao's score test in spatial econometrics
• OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
• The Amiti-Weinstein estimator: an equivalence result
• Equality of OLS and Aitken estimators
• Nonparametric regression estimation with general parametric error covariance

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