A Comparative Study of Alternative Estimators for Variance Components Models Used in Econometric Applications
- 1 June 1973
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 68 (342) , 324
- https://doi.org/10.2307/2284070
Abstract
The article investigates by means of Monte Carlo experiments the performance of the ML method, the MINQUE method and several other two-step Generalized Least Squares methods in estimating the slope coefficient in a variance components model. It concludes that in models with no lagged dependent variables there is nothing much to choose among these estimators.Keywords
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