The frisch-waugh theorem and generalized least squares
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Publication:4355155
DOI10.1080/07474939608800365zbMath0885.62079OpenAlexW1986340853MaRDI QIDQ4355155
Robert Bartels, Walter Kramer, Denzil G. Fiebig
Publication date: 29 April 1998
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939608800365
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items (7)
On relations between weighted least-squares estimators of parametric functions under a general partitioned linear model and its small models ⋮ Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model ⋮ Linear estimation with regressor decomposition ⋮ A note on Cohen's \(d\) from a partitioned linear regression model ⋮ On additive and block decompositions of WLSEs under a multiple partitioned regression model ⋮ Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated ⋮ Estimation under a general partitioned linear model
Cites Work
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- Note on Estimating Linear Trend when Residuals are Autocorrelated
- When are Gauss-Markov and Least Squares Estimators Identical? A Coordinate-Free Approach
- Linear Statistical Inference and its Applications
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