The Inefficiency of Least Squares.
Abstract
Two criteria are set up to judge the relative performance of the least squares estimator and the best linear unbiased estimator of beta in the linear model y = X beta + u where E(u) = 0, E(uu') = Gamma. X and Gamma are found so that the relative performance of least squares is worst.
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1973
- Accession Number
- AD0777955
Entities
People
- Geoffrey S. Watson
- Peter Bloomfield
Organizations
- Princeton University