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6 results

  • A Variance Comparison of OLS and Feasible GLS Estimators
  • David Grubb, Lonnie Magee
  • Journal: Econometric Theory / Volume 4 / Issue 2 / August 1988
  • Published online by Cambridge University Press: 18 October 2010, pp. 329-335
  • Print publication: August 1988
  • View abstract

    Second-order approximations to the variances of OLS and GLS estimators are compared when the covariance matrix is locally nonscalar. Using a result of Rothenberg, the comparison of OLS and GLS variances is shown to be asymptotically equivalent to a weighted mean square error comparison of the error covariance parameter estimators used in those two procedures. When there is only one covariance parameter, this comparison depends only on the noncentrality parameter of a classical hypothesis test for a scalar covariance matrix.

  • Approximating the Approximate Slopes of LR, W, and LM Test Statistics
  • Lonnie Magee
  • Journal: Econometric Theory / Volume 3 / Issue 2 / April 1987
  • Published online by Cambridge University Press: 11 February 2009, pp. 247-271
  • Print publication: April 1987
  • View abstract

    A Taylor series approach is used to derive approximations to the approximate slope of LR, W, and LM test statistics. These can be useful when the approximate slopes themselves are complicated. The results are applied to the test of linear coefficient restrictions in the linear model with a nonscalar covariance matrix. They can be used to find cases where the Wald test may badly over-reject in this model. The results shed some new light on the over-rejection that has been noted in the special cases of AR(1) disturbances and the SURE model.