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Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances

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Abstract

This paper considers the estimation of a subset of regression coefficients in a linear regression model with non-spherical disturbances, when other regression coefficients are of no interest. A family of estimators is considered and its asymptotic distribution is derived. This proposed family of improved estimators is compared with the usual unrestricted FGLS estimator, and dominance conditions are obtained with respect to risk under quadratic loss as well as the Pitman nearness criterion. The results of a numerical simulation are presented to illustrate the risk performance of various estimators.

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Authors and Affiliations

  1. Department of Statistics, University of Allahabad, Allahabad, 211002, India

    Anoop Chaturvedi & Suchita Kesarwani

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  1. Anoop Chaturvedi
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  2. Suchita Kesarwani
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Correspondence to Anoop Chaturvedi.

Additional information

The author gratefully acknowledges the financial support from CSIR to carry on the present work.

This paper was recommended for publication by Editor ZOU Guohua.

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Chaturvedi, A., Kesarwani, S. Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances. J Syst Sci Complex 26, 209–231 (2013). https://doi.org/10.1007/s11424-012-0051-3

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  • DOI: https://doi.org/10.1007/s11424-012-0051-3

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