Properties of ordinary least squares estimators in regression models with nonspherical disturbances

  • Fiebig D
  • McAleer M
  • Bartels R
  • 3

    Readers

    Mendeley users who have this article in their library.
  • 20

    Citations

    Citations of this article.

Abstract

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. © 1992.

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document

Authors

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free