Partially generalized least squares and two-stage least squares estimators

DOI10.1016/0304-4076(93)90082-GzbMath0517.62060WikidataQ127237662 ScholiaQ127237662MaRDI QIDQ1053397

Takeshi Amemiya

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

heteroscedastic errorspartially generalized least squares estimatorspartially generalized two-stage least squares estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

On the equality of usual and amemiya's partially generalized least squares estimator, Conditions for the numerical equality of the OLS, GLS and Amemiya-Cragg estimators, Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity, BETWEEN OLSE AND BLUE, Asymptotic efficiency in estimation with conditional moment restrictions

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Multivariate regression models for panel data
• Instrumental Variables Regression with Independent Observations
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions