In a general normal regression model, this paper first derives the least upper bound (LUB) for the covariance matrix of a generalized least squares estimator (GLSE) relative to the covariance matrix ...

The paper proves the asymptotic normality of a generalized least squares estimator utilizing estimated autocovariances of the residual in a regression equation having a residual following a mixed ...

In a multivariate regression model, the errors in different equations may be correlated. In this case the efficiency of the estimation may be improved by taking these cross-equation correlations into ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...