A UNIFIED APPROACH TO ASYMPTOTIC EQUIVALENCE OF AITKEN AND FEASIBLE AITKEN INSTRUMENTAL VARIABLES ESTIMATORS

• 成果类型: Article
• 署名作者: MANDY, DM; MARTINSFILHO, C
• 署名单位: University of Tennessee System; University of Tennessee Knoxville; Oregon State University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.2307/2527005
• 发表日期: 1994
• 页码: 957-979
• 关键词: seemingly unrelated regressions; least-squares; linear-models; errors; heteroscedasticity; matrix

摘要

Asymptotic equivalence of Aitken and feasible Aitken estimators in linear models with nonscalar identity error covariance matrices is usually established in a tedious case-by-case manner. Some general sufficient conditions for this equivalence exist, but there are problems with the extant conditions. These problems are discussed, and new widely applicable sufficient conditions are presented and applied to a variety of error structures.