A note on extraneous information in regression

dc.contributor.author	Brook, Richard	en_US
dc.contributor.author	Wallace, Dudley	en_US
dc.date.accessioned	2010-03-09T15:29:37Z
dc.date.available	2010-03-09T15:29:37Z
dc.date.issued	1973	en_US
dc.identifier.uri	http://hdl.handle.net/10161/1915
dc.description.abstract	The Theil-Goldberger ( 196 1) exposition of combining sample and prior information is well known and appears now in standard textbooks for graduate econometrics courses. Diminishing the value of the prior relative to the sample information can be easily seen to lead to least squares in the limit, given the formula for the BLU estimator. However, it is not so obvious what happens when the converse limit is examined. Therefore, the purpose of this note is to show that as the variance of the errors on the priors approaches zero, the Theil-Goldberger estimator goes to the estimator implied by exact restrictions.	en_US
dc.format.extent	73670 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Journal of Econometrics	en_US
dc.subject	ECONOMETRICS	en_US
dc.subject	theil-Goldberger	en_US
dc.subject	variance of errors	en_US
dc.title	A note on extraneous information in regression	en_US
dc.type	Journal Article	en_US
dc.department	Economics