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Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances

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Date
1977-01-01
Author
McElroy, MB
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Abstract
This paper extend, in an asymptotic sense, the strong and the weaker mean square error criteria and corresponding tests to linear models with non-spherical disturbances where the error covariance matrix is unknown but a consistent estimator for it is available. The mean square error tests of Toro-Vizcorrondo and Wallace (1968) and Wallace (1972) test for the superiority of restricted over unrestricted linear estimators in a least squares context. This generalization of these tests makes them available for use with GLS, Zellner's SUR, 2SLS, 3SLS, tests of over identification, and so forth. © 1977.
Type
Journal article
Permalink
https://hdl.handle.net/10161/1896
Published Version (Please cite this version)
10.1016/0304-4076(77)90009-4
Publication Info
McElroy, MB (1977). Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances. Journal of Econometrics, 6(3). pp. 389-394. 10.1016/0304-4076(77)90009-4. Retrieved from https://hdl.handle.net/10161/1896.
This is constructed from limited available data and may be imprecise. To cite this article, please review & use the official citation provided by the journal.
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Scholars@Duke

McElroy

Marjorie B. McElroy

Professor of Economics
Professor McElroy focuses her research on the subjects of labor, demand systems, and financial economics. She has completed several of her research projects under the funding provided by National Science Foundation grants, including her latest work on the economics of the family in relation to bargain decision-making and marriage markets. She is also currently investigating altruism in marriage markets and bargaining on the core in marriage markets. She has also completed studies involving th
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