Show simple item record

A note on extraneous information in regression

dc.contributor.author Brook, Richard
dc.contributor.author Wallace, Dudley
dc.date.accessioned 2010-03-09T15:29:37Z
dc.date.available 2010-03-09T15:29:37Z
dc.date.issued 1973
dc.identifier.uri https://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.
dc.format.extent 73670 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Journal of Econometrics
dc.subject ECONOMETRICS
dc.subject theil-Goldberger
dc.subject variance of errors
dc.title A note on extraneous information in regression
dc.type Journal article


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record