An Unbiased Estimator of the Covariance Matrix of the Mixed Regression Estimator

This paper derives an unbiased estimator of the covariance matrix of the "mixed regression estimator" suggested by Theil and Goldberger (1961) for combining prior information with the sample information in regression analysis. This derivation facilitates the construction of finite-sample standard errors for the mixed estimators of the individual regression coefficients. Comparisons are made between the unbiased covariance estimator and conventional consistent estimators based on ordinary least squares and generalised least squares formulae.


Issue Date:
Sep 09 1989
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
15
Series Statement:
8908




 Record created 2017-09-11, last modified 2017-09-11

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