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

页码：321 / 334

页数：14

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