Details

Subject(s)

• Error analysis (Mathematics) [Browse]

Related name

• National Bureau of Economic Research [Browse]

Series

• Working Paper Series (National Bureau of Economic Research) no. w0003. [More in this series]
• NBER working paper series no. w0003

Summary note

In this paper, we have developed an operational method for estimating error components regression models when the variance- covariance matrix of the disturbance terms is unkown. Monte Carlo Studies were conducted to compare the relative efficiency of the pooled estimator obtained by this procedure to (a) an ordinary least sources estimator based on data aggregated over time, (b) the covariance estimator, and (d) a generalized least squares estimator based on a known variance-covariance matrix. For T small and large p, this estimator definitely performs better than the other estimators which are also based on an estimated value of the variance-covariance matrix of the disturbances. For p small and large T it compares equally well with other estimators.

Notes

June 1973.

Bibliographic references

Includes bibliographical references.

Source of description

Print version record

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