Sensitivity of GLS estimators in random effects models
نویسندگان
چکیده
منابع مشابه
Sensitivity of GLS estimators in random effects models
This paper studies the sensitivity of random effects estimators in the one-way error component regression model. Maddala and Mount (1973) give simulation evidence that in random effects models the properties of the feasible GLS estimator β̂ are not affected by the choice of the first-step estimator θ̄ used for the covariance matrix. Taylor (1980) gives a theoretical example of this effect. This p...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2010
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2009.12.019