ESTIMATION OF A SUBSET OF REGRESSION COEFFICIENTS OF INTEREST IN A MODEL WITH NON-SPHERICAL DISTURBANCES

This paper considers the estimation of a subset of regression coefficients in a linear regression model with non-spherical disturbances, when other regression coefficients are of no interest. A family of estimators is considered and its asymptotic distribution is derived. This proposed family of imp...

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Bibliographic Details
Published in:Journal of systems science and complexity 2013-04, Vol.26 (2), p.209-231
Main Authors: Chaturvedi, Anoop, Kesarwani, Suchita
Format: Article
Language:English
Subjects:
Complex Systems
Control
GLS估计
Mathematics
Mathematics and Statistics
Mathematics of Computing
Operations Research/Decision Theory
Statistics
Systems Theory
二次损失
回归系数
子集
干扰
渐近分布
线性回归模型
非球面
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Summary:This paper considers the estimation of a subset of regression coefficients in a linear regression model with non-spherical disturbances, when other regression coefficients are of no interest. A family of estimators is considered and its asymptotic distribution is derived. This proposed family of improved estimators is compared with the usual unrestricted FGLS estimator, and dominance conditions are obtained with respect to risk under quadratic loss as well as the Pitman nearness criterion. The results of a numerical simulation are presented to illustrate the risk performance of various estimators.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-012-0051-3