An Unbiased Estimator of the Covariance Matrix of the Mixed Regression Estimator

D. E. A Giles and V. K. Srivastava

No 262928, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: This paper derives an unbiased estimator of the covariance matrix of the "mixed regression estimator" suggested by Theil and Goldberger (1961) for combining prior information with the sample information in regression analysis. This derivation facilitates the construction of finite-sample standard errors for the mixed estimators of the individual regression coefficients. Comparisons are made between the unbiased covariance estimator and conventional consistent estimators based on ordinary least squares and generalised least squares formulae.

Keywords: Agribusiness; Financial Economics (search for similar items in EconPapers)
Pages: 15
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:262928

DOI: 10.22004/ag.econ.262928

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