Econometrica: Jan 1964, Volume 32, Issue 1
The Bias and Moment Matrix of a Mixed Regression Estimator
A. L. Nagar, N. C. KakwaniMixed estimation, in contrast to pure estimation, in regression analysis was proposed sometime ago by Theil and Goldberger. More recently Theil has proposed an f-class of these estimates. In this paper we analyze the bias to order 1/T, T being the number of observations, and the moment matrix to order 1/T^2 of a member of the f-class.
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