A Maximal Extension of the Gauss-Markov Theorem and its Nonlinear Version

In this paper, first we make a maximal extension of the well known gauss-Markov Theorem (GMT) in its linear framework. In particular, the maximal class of distributions of error term for which teh GMT holds is derived.Second, we establish a nonlinear version of the maximal GMT and describe some interesting families of distributions of error term for which the nonlinear GMT holds.

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Year of publication:	1998-04
Authors:	Kariya, Takeaki ; Kurata, Hiroshi
Institutions:	Institute of Economic Research, Hitotsubashi University
Subject:	Gauss-Markov Theorem \| Nonlinear Gauss-Markov Theorem \| equivariant estimator in regression \| elliptically symmetric distribution

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Series:	Discussion Paper Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005450408