Conditions for the numerical equality of the OLS, GLS and Amemiya–Cragg estimators
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DOI: 10.1016/j.econlet.2012.01.015
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References listed on IDEAS
- Baltagi, Badi H., 1989. "Applications of a necessary and sufficient condition for OLS to be BLUE," Statistics & Probability Letters, Elsevier, vol. 8(5), pages 457-461, October.
- Amemiya, Takeshi, 1983. "Partially generalized least squares and two-stage least squares estimators," Journal of Econometrics, Elsevier, vol. 23(2), pages 275-283, October.
- Cragg, John G, 1983. "More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form," Econometrica, Econometric Society, vol. 51(3), pages 751-763, May.
- Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-1097, July.
- repec:bla:ecorec:v:68:y:1992:i:200:p:65-72 is not listed on IDEAS
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Cited by:
- Damir Filipovic & Paul Schneider, 2024. "Fundamental properties of linear factor models," Papers 2409.02521, arXiv.org, revised Feb 2025.
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More about this item
Keywords
Ordinary least squares; Generalized least squares; Amemiya–Cragg estimator;All these keywords.
JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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