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Best affine unbiased representations of the fully restricted general Gauss-Markov model

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  • Haupt, Harry
  • Oberhofer, Walter

Abstract

This article completes and simplifies earlier results on the derivation of best linear, or affine, unbiased estimates in the general Gauss-Markov model with a singular dispersion matrix and additional restrictions under very general conditions. We provide the class of all linear representations of the best affine unbiased estimator with precise statements concerning its indeterminacy.

Suggested Citation

  • Haupt, Harry & Oberhofer, Walter, 2006. "Best affine unbiased representations of the fully restricted general Gauss-Markov model," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 759-764, March.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:3:p:759-764
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    References listed on IDEAS

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    1. repec:ebl:ecbull:v:3:y:2002:i:1:p:1-7 is not listed on IDEAS
    2. Harry Haupt & Walter Oberhofer, 2002. "Fully restricted linear regression: A pedagogical note," Economics Bulletin, AccessEcon, vol. 3(1), pages 1-7.
    3. Rao, C. Radhakrishna, 1973. "Representations of best linear unbiased estimators in the Gauss-Markoff model with a singular dispersion matrix," Journal of Multivariate Analysis, Elsevier, vol. 3(3), pages 276-292, September.
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