Generalized least squares estimation of the functional multivariate linear errors-in-variables model

P. Fred Dahm and Wayne A. Fuller

Journal of Multivariate Analysis, 1986, vol. 19, issue 1, 132-141

Abstract: Estimators of the parameters of the functional multivariate linear errors-in-variables model are obtained by the application of generalized least squares to the sample matrix of mean squares and products. The generalized least squares estimators are shown to be consistent and asymptotically multivariate normal. Relationships between generalized least squares estimation of the functional model and of the structural model are demonstrated. It is shown that estimators constructed under the assumption of normal x are appropriate for fixed x.

Keywords: errors-in-variables; generalized; least; squares; functional; relationship; structural; relationship; measurement; error; model (search for similar items in EconPapers)
Date: 1986
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(86)90098-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:19:y:1986:i:1:p:132-141

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().