Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances
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1977-01-01
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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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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.
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Marjorie B. McElroy
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 the investigation of international populations, such as her work with D. Yang on, “Carrots and Sticks: Fertility Effects on China’s Population Policies.” She has collaborated with her contemporaries on several projects, including her earlier work with Hwei-ju Chen, R. Gnanadesikan, and J.R. Kettenring entitled, “A Statistical Study of Groupings of Corporations,” and her project with T.J. Kniesner and Stephen Wilcox on, “Family Structure, Race, and the Feminization of Poverty.” One of her recent published studies, which she completed independently, is entitled, “What’s New with Nash-Bargained Household Demands?”
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