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非均衡市场模型中极大似然估计量的渐近性质
Michael J. Hartley, Parthasaradhi Mallela, The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium, Econometrica, Vol. 45, No. 5 (Jul., 1977), pp. 1205-1220
线性模型异方差方差参数可作 MINQU 估计的充要条件
Let y = Xβ+e be a Gauss-Markoff linear model such that E(e) = 0 and D(e), the dispersion matrix of the error vector, is a diagonal matrix whose ith diagonal element is σ2 i, the variance of the ith observation yi. Rao has recently brought out two sets of sufficient conditions (on X) for the MINQU-estimability of all the heteroskedastic variances. In this note, we have derived a set of necessary and sufficient conditions for the same purpose.