@article{Giles:262928,
      recid = {262928},
      author = {Giles, D. E. A and Srivastava, V. K.},
      title = {An Unbiased Estimator of the Covariance Matrix of the  Mixed Regression Estimator},
      address = {1989-09-09},
      number = {2008-2017-4198},
      series = {8908},
      pages = {15},
      year = {1989},
      abstract = {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.},
      url = {http://ageconsearch.umn.edu/record/262928},
      doi = {https://doi.org/10.22004/ag.econ.262928},
}