Econometrica: Mar 1977, Volume 45, Issue 2

Small Sample Properties of a Class of Two Stage Aitken Estimators

https://doi.org/0012-9682(197703)45:2<497:SSPOAC>2.0.CO;2-U
p. 497-508

William E. Taylor

Conditions under which a single iteration approximation to the maximum likelihood estimator dominates ordinary least squares are approximated analytically for the class of linear models for which the eigenvectors of the error covariance matrix are known.

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