New insights into best linear unbiased estimation and the optimality of least-squares

New results in matrix algebra applied to the fundamental bordered matrix of linear estimation theory pave the way towards obtaining additional and informative closed-form expressions for the best linear unbiased estimator (BLUE). The results prove significant in several respects. Indeed, more light is shed on the BLUE structure and on the working of the OLS estimator under nonsphericalness in (possibly) singular models.

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Year of publication:	2006
Authors:	Faliva, Mario ; Zoia, Maria Grazia
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 97.2006, 3, p. 575-585
Publisher:	Elsevier
Subject:	BLUE closed-forms Nonsphericalness OLS optimality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221282