On the Prediction Efficiency of the Generalized Least Squares Model with an Estimated Variance Covariance Matrix

DOI10.2307/2526267zbMath0433.62066OpenAlexW2006721309MaRDI QIDQ3871778

Taku Yamamoto

Publication date: 1979

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

Full work available at URL: https://doi.org/10.2307/2526267

zbMATH Keywords

best linear unbiased predictormean square prediction errorestimated variance covariance matrixmisspecified predictorprediction efficiency of generalized least squares modeltruncated predictor

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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