Parameter Estimation in Linear Models with Heteroscedastic Variances Subject to Order Restrictions

Estimation of parameters in linear fixed and mixed effects models, under order restrictions on the error variances, is considered in this article. For simplicity of exposition, we shall assume that the error variances are subject to simple order restriction. Similar methodology can be developed for other forms of order restrictions as well.

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Year of publication:	2002
Authors:	Hoferkamp, Carol ; Das Peddada, Shyamal
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 82.2002, 1, p. 65-87
Publisher:	Elsevier
Keywords:	fixed effects heteroscedastic errors isotonic regression maximum likelihood estimation mixed effects simple order restriction

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

Persistent link: https://www.econbiz.de/10005199879