Some remarks on general linear model with new regressors

Assume that an original general linear model is misspecified by adding some new regressors. We investigate in such a case relationships between the best linear unbiased estimators under the two models. In particular, we give necessary and sufficient conditions for the best linear unbiased estimators to be equal under the two models.

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Year of publication:	2015
Authors:	Lu, Changli ; Gan, Shengjun ; Tian, Yongge
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 16-24
Publisher:	Elsevier
Subject:	Linear model \| Misspecified model \| Parametric functions \| New regressors \| BLUE

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011189349