Title Properties of the coefficient estimators for the linear regression model with heteroskedastic error term /
Translation of Title Tiesinio regresinio modelio su heteroskedastiškomis paklaidomis koeficientų įverčių savybės.
Authors Račkauskas, Alfredas ; Zuokas, Danas
DOI 10.15388/LMR.2006.30725
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Is Part of Lietuvos matematikos rinkinys. 2006, t. 46, spec. nr, p. 267-272.. ISSN 0132-2818
Abstract [eng] In this paper we present estimated generalized least squares (EGLS) estimator for the coefficient vestor β in the linear regression model y=ßX+έ, where disturbance term can be heteroskedastic. For the heteroskedasticity of the changed segment type, using Monte-Carlo method, we investigate empirical properties of the proposed and ordinary least squares (OLS) estimators. The results show that the empirical covariance of the EGLS estimators is smaller than of OLS estimators.
Type Journal article
Language English
Publication date 2006
CC license CC license description