Nonnegative-definite covariance structures for which the blu, wls, and ls estimators are equal

For the general Gauss-Markov model with E(Y)=X[beta] and Var(Y)=V, we give a concise proof of an explicit characterization of the general nonnegative-definite covariance structure V such that the best linear unbiased estimator, weighted least-squares estimator, and least-squares estimator of X[beta] are identical.

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Year of publication:	2000
Authors:	Young, Dean M. ; Odell, Patrick L. ; Hahn, William
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 49.2000, 3, p. 271-276
Publisher:	Elsevier
Keywords:	Moore-Penrose inverse Weighted least-squares normal equation Nonnegative-definite solutions of a homogeneous matrix equation

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

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