The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models
误差分量回归模型系数估计量的精确有限样本性质
Wallace and Hussain (1969) considered the use of an error components regression model in the analysis of time series of cross-sections and developed an estimator of the coefficient vector based on an estimated variance-covariance matrix of error terms. In this paper, we have shown that under the set of assumptions adopted by Wallace and Hussain there are an infinite number of estimators which have the same asymptotic variancecovariance matrix as the Wallace-Hussain estimator…