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

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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.

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Fiebig, D. G., McAleer, M., & Bartels, R. (1992). Properties of ordinary least squares estimators in regression models with nonspherical disturbances. Journal of Econometrics, 54(1–3), 321–334. https://doi.org/10.1016/0304-4076(92)90111-4

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