THE HETEROSKEDASTIC LINEAR-REGRESSION MODEL AND THE HADAMARD PRODUCT - A NOTE

被引：8

作者：

NEUDECKER, H ^{[1
]}

POLASEK, W ^{[1
]}

LIU, S ^{[1
]}

机构：

[1] UNIV BASEL,CH-4051 BASEL,SWITZERLAND

来源：

JOURNAL OF ECONOMETRICS | 1995年 / 68卷 / 02期

关键词：

HETEROSKEDASTIC LINEAR REGRESSION; HADAMARD PRODUCT; INFORMATION MATRIX; NONLINEAR SPECIFICATIONS;

D O I：

10.1016/0304-4076(94)01655-J

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A unified matrix approach to the heteroskedastic linear regression model and its estimation is presented. The Hadamard product plays an essential role. Our approach creates the possibility of treating not only the standard linear but also nonlinear specifications. Special attention is being paid to maximum-likelihood estimation.

引用

页码：361 / 366

页数：6

共 9 条

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[2] Amemiya T, 1977, J ECONOMETRICS, V6, P365, DOI [10.1016/0304-4076(77)90006-9, DOI 10.1016/0304-4076(77)90006-9]
[3] [Anonymous], 1984, ADV ECONOMETRIC METH
[4] Greene W. H., 1993, ECONOMETRIC ANAL
[5] Judge G.G., 1985, INTRO THEORY PRACTIC
[6] COMMUTATION MATRIX - SOME PROPERTIES AND APPLICATIONS
MAGNUS, JR
NEUDECKER, H
[J]. ANNALS OF STATISTICS, 1979, 7 (02) : 381 - 394
[7] MAGNUS JR, 1991, MATRIX DIFFERENTIAL
[8] NEUDECKER H, 1988, 883 U S AFR DEP STAT
[9] PUKELSHEIM F, 1977, STATISTICS, V8, P323

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