Hostname: page-component-cd9895bd7-gxg78 Total loading time: 0 Render date: 2024-12-27T18:36:17.131Z Has data issue: false hasContentIssue false

A Variance Comparison of OLS and Feasible GLS in an Error Components Model

Published online by Cambridge University Press:  11 February 2009

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Solutions
Copyright
Copyright © Cambridge University Press 1990

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

1.Breusch, T.S.Maximum likelihood estimation of random effects models. Journal of Econometrics 36 (1987): 383389.Google Scholar
2.Grubb, D. & Magee, L.. A variance comparison of OLS and feasible GLS estimators. Econometric Theory 4 (1988): 329335.Google Scholar
3.Maddala, G.S.The use of variance components models in pooling cross section and time series data. Econometrica 39 (1971): 341358.CrossRefGoogle Scholar
4.Magus, J.R.Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix. Journal of Econometrics 7 (1978): 281312.Google Scholar
5.Wansbeek, T. & Kapteyn, A.. A class of decompositions of the variance-covariance matrix of a generalized error components model. Econometrica 50 (1982): 713724.Google Scholar