Properties of Ordinary Least Squares Estimators in Regression Models with Non-spherical Disturbances PDF Download
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Author: Denzil G. Fiebig
Publisher:
ISBN:
Category : Least squares
Languages : en
Pages : 44
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Author: Denzil G. Fiebig
Publisher:
ISBN:
Category : Least squares
Languages : en
Pages : 44
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Book Description
Author: P. K. Bhattacharya (Mathematician)
Publisher:
ISBN:
Category : Matrices
Languages : en
Pages : 32
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For the linear regression of y on x observations the loss in estimating the true regression function by another function is considered as a loss function. For the loss function, it is shown under certain conditions that if the class of estimates which are linear in y's and have bounded risk is non-empty, then the estimate obtained by the method of least squares belongs to this class and has uniformly minimum risk in this class. A necessary and sufficient condition on the distribution function of x observations is obtained for this class to be non-empty, which unfortunately is not easy to verify in particular cases and is violated in a ver simple situation. owever, by a sequential modification of the sampling scheme, this condition may always be satisfied at the cost of an arbitrarily small increase in the expected sa ple size. I T IS ALSO SHOWN UNDER CERTAIN FURTHER C NDITIONS ON THE FAMILY OF ADMISSIBLE DISTRIB TIONS THAT THE LEAST SQUARES ESTIMATOR IS MINIMAX IN THE CLASS OF ALL ESTIMATORS. (Author).
Author: Toni Clemens Stocker
Publisher:
ISBN:
Category :
Languages : en
Pages : 89
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Author: Mary Ellen Bock
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 108
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Author: Badi H. Baltagi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are derived for the standard panel data estimators including ordinary least squares, fixed effects, first-difference, and generalized least squares (GLS) estimators when both T and n are large. We show that all the estimators have asymptotic normal distributions and have different convergence rates dependent on the non-stationarity of the regressors and the remainder disturbances. We show using Monte Carlo experiments that the loss in efficiency of the OLS, FE and FD estimators relative to true GLS can be substantial.
Author: Cathy Campbell
Publisher:
ISBN:
Category : Least squares
Languages : en
Pages : 356
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Author: Judith Anne Giles
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 40
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Author: Friedrich Schmid
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Author: Thomas B. Fomby
Publisher: Springer Science & Business Media
ISBN: 1441987460
Category : Business & Economics
Languages : en
Pages : 637
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Book Description
This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.
Author: Michael McAleer
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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