Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity

DOI10.1016/0304-4076(94)90056-6zbMath0806.62055OpenAlexW1966367690MaRDI QIDQ1341188

Jerzy Szroeter

Publication date: 12 February 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90056-6

zbMATH Keywords

tracedeterminanttrace measureheteroscedastic errorsextreme eigenvalueweighted least squares estimatorsefficiency measuresadditional prior informationeigenvalue measureordered heteroscedasticityregression coefficient estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Cites Work

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• Small Sample Properties of a Class of Two Stage Aitken Estimators
• The Heteroscedastic Linear Model: Exact Finite Sample Results
• Specification of the Disturbance for Efficient Estimation
• Linear Least Squares Regression

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