Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances
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.
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Journal articlePermalink
https://hdl.handle.net/10161/1896Published Version (Please cite this version)
10.1016/0304-4076(77)90009-4Publication Info
(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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Show full item recordScholars@Duke
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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