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New insights into best linear unbiased estimation and the optimality of least-squares

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  • Faliva, Mario
  • Zoia, Maria Grazia

Abstract

New results in matrix algebra applied to the fundamental bordered matrix of linear estimation theory pave the way towards obtaining additional and informative closed-form expressions for the best linear unbiased estimator (BLUE). The results prove significant in several respects. Indeed, more light is shed on the BLUE structure and on the working of the OLS estimator under nonsphericalness in (possibly) singular models.

Suggested Citation

  • Faliva, Mario & Zoia, Maria Grazia, 2006. "New insights into best linear unbiased estimation and the optimality of least-squares," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 575-585, March.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:3:p:575-585
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    References listed on IDEAS

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    1. Faliva, Mario & Zoia, Maria Grazia, 2002. "On A Partitioned Inversion Formula Having Useful Applications In Econometrics," Econometric Theory, Cambridge University Press, vol. 18(2), pages 525-530, April.
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