PROPERTIES OF ORDINARY LEAST-SQUARES ESTIMATORS IN REGRESSION-MODELS WITH NONSPHERICAL DISTURBANCES

被引：20
作者：
FIEBIG, DG
MCALEER, M
BARTELS, R
机构：
[1] UNIV WESTERN AUSTRALIA,NEDLANDS,WA 6009,AUSTRALIA
[2] UNIV BONN,W-5300 BONN,GERMANY
来源：
JOURNAL OF ECONOMETRICS | 1992年 / 54卷 / 1-3期
基金：
澳大利亚研究理事会;
关键词：
D O I：
10.1016/0304-4076(92)90111-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A general discussion is presented of the properties of the OLS estimator in regression models where the disturbances do not have a scalar identity covariance matrix. Several new and interesting characterizations are provided together with a synthesis of existing results. A distinguishing feature of the paper is the unified treatment of the issues of efficiency and inference. The theoretical material is illustrated by examples covering a wide range of models of interest to applied econometricians.
引用
收藏
页码：321 / 334
页数：14
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