Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • McElroy, MB

Published Date

  • January 1, 1977

Published In

Volume / Issue

  • 6 / 3

Start / End Page

  • 389 - 394

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/0304-4076(77)90009-4

Citation Source

  • Scopus