Asymptotic Distribution of the Hildreth—Houck Estimator
Hildreth—Houck估计量的渐近分布
Hildreth and Houck (1968) discussed a random-coefficients regression model and proposed several weighted least squares estimators with estimated weights. They conjectured that the estimators are asymptotically equivalent to the weighted least squares estimator with known weights. In this article the conjecture is verified, providing the first correct proof that Hildreth—Houck estimators are asymptotically normal. One of Hildreth and Houck's conditions is eliminated. An…