Efficiency of Several generalised least squares estimators
Abstract
Econometric theory, as developed till today includes a number of estimation procedures whose small and large sample properties have been analysed at different places by different authors. Looking at these works one can find a few contradictions regarding efficiency of some powerful methods of estimation. Present paper highlights these contradictions and then provides a systematic analysis of asymptotic efficiency of a number of estimation procedures. Effect of orthogonally of explanatory variables on the efficiency of various generalized least squares estimators is also examined.
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