Some remarks on general linear model with new regressors

Changli Lu, Shengjun Gan and Yongge Tian ()

Statistics & Probability Letters, 2015, vol. 97, issue C, 16-24

Abstract: Assume that an original general linear model is misspecified by adding some new regressors. We investigate in such a case relationships between the best linear unbiased estimators under the two models. In particular, we give necessary and sufficient conditions for the best linear unbiased estimators to be equal under the two models.

Keywords: Linear model; Misspecified model; Parametric functions; New regressors; BLUE (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2014.10.015

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