The asymptotic behaviour of the estimated generalized least squares method in the linear regression model

B.B. Van Der Genugten

Statistica Neerlandica, 1983, vol. 37, issue 3, 127-141

Abstract: Abstract In the linear regression model the generalized least squares (GLS) method is only applicable if the covariance matrix of the errors is known but for a scalar factor. Otherwise an estimator for this matrix has to be used. Then we speak of the estimated generalized least squares (EGLS) method. In this paper the asymptotic behaviour of both methods is compared. Results are applied to some standard models commonly used in econometrics

Date: 1983
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https://doi.org/10.1111/j.1467-9574.1983.tb00807.x

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