A note on equality of MINQUE and simple estimator in the general Gauss-Markov model

Gro[beta], Jürgen

Statistics & Probability Letters, 1997, vol. 35, issue 4, 335-339

Abstract: Under the general Gauss-Markov model {y, X[beta], [sigma]2 V}, equality of MINQUE and so called 'simple' estimator (1/[latin small letter f with hook])yT (I - XX+)y with [latin small letter f with hook] = rank(X : V) - rank(X) for [sigma]2 is considered. It is revealed that this equality holds if and only if the quadratic form (1/[sigma]2)yT(I - XX+)y admits a [chi]2-distribution under normality of y.

Keywords: General; Gauss-Markov; model; MINQUE; BLUE; OLSE; [chi]2-distribution (search for similar items in EconPapers)
Date: 1997
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