An Unbiased Estimator of the Covariance Matrix of the Mixed Regression Estimator
混合回归估计量协方差矩阵的无偏估计
This article derives an unbiased estimator of the covariance matrix of the “mixed regression” estimator suggested by Theil and Goldberger for combining prior information with the sample information in regression analysis. This derivation facilitates the construction of finite-sample standard errors for the mixed estimators of the individual regression coefficients. Comparisons are made between the unbiased covariance estimator, the conventional consistent estimator based on…