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On the Asymptotic Bias of the Ordinary Least Squares Estimator of the Tobit Model
Econometrica, 1981This paper presents a precise characterization of the bias of least squares in two limited dependent variable models, the Tobit model and the truncated regression model. For the cases considered, the method of moments can be used to correct the bias of OLS. For more general cases, the results provide approximations which appear to be relatively robust.
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A COMPARISON OF ORDINARY LEAST SQUARES AND LEAST ABSOLUTE ERROR ESTIMATION
1986In a linear dynamic model with heteroscedastic errors, we compare some aspects of ordinary least squares and least absolute error estimation. After deriving the properties of the estimators and the Wald, Lagrange multiplier and Likelihood ratio tests under a local alternative, we derive the Hausman test comparing the estimators.
Weiss, Andrew, Weiss, Andrew
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Econometric Theory, 2002
For regression models with general unstable regressors having characteristic roots on the unit circle and general stationary errors independent of the regressors, sufficient conditions are investigated under which the ordinary least squares estimator (OLSE) is asymptotically efficient in that it has the same limiting distribution as the ...
Shin, Dong Wan, Oh, Man Suk
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For regression models with general unstable regressors having characteristic roots on the unit circle and general stationary errors independent of the regressors, sufficient conditions are investigated under which the ordinary least squares estimator (OLSE) is asymptotically efficient in that it has the same limiting distribution as the ...
Shin, Dong Wan, Oh, Man Suk
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On the invalidity of the ordinary least squares estimate of the equilibrium climate sensitivity
Theoretical and Applied Climatology, 2021The equilibrium climate sensitivity is often estimated by the ordinary least squares applied to annual data of observed/calculated temperature and forcing series. One of the conditions under which the ordinary least squares estimator is consistent is the uncorrelatedness of the regressor and regression error.
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On the dominance of Mallows model averaging estimator over ordinary least squares estimator
Economics Letters, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xinyu Zhang, Shangwei Zhao
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Ordinary Least Squares Estimation for a Dynamic Game [PDF]
, 2014 Estimation of dynamic games is known to be a numerically challenging task. A common form of the payoff functions employed in practice takes the linear-in-parameter specification. We show a least squares estimator taking a familiar OLS/GLS expression is available in such case. Our proposed estimator has a closed-form.
Fabio A. Miessi Sanches +1 more
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Econometrica, 1984
Exact expressions are given for the first two moments of a linear combination of the elements of an instrumental variables estimator for the coefficients of the endogenous variables in a general structural equation. These results generalize previous exact results for equations containing just two or three endogenous variables.
Hillier, Grant +2 more
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Exact expressions are given for the first two moments of a linear combination of the elements of an instrumental variables estimator for the coefficients of the endogenous variables in a general structural equation. These results generalize previous exact results for equations containing just two or three endogenous variables.
Hillier, Grant +2 more
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The Ordinary Least Squares Estimates
1986With the linearization of the basic model and its covariance matrix at hand we now start on the estimation of the components. We’ll do this by calculating the ordinary least squares estimates for our linear model, and by discussing what is meant by “estimable function” in our context.
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The Exact Moments of Ordinary Least Squares Estimators for Koyck Distributed Lag Models
International Economic Review, 1986This article has analyzed some small sample properties of the ordinary least squares estimators for the Koyck distributed lag models. Two different structures on the disturbances are assumed. Analytical expressions for exact low order moments of the OLS estimators are derived.
Hoque, Asraul +2 more
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The American Statistician, 1988
Abstract The problem of the equality between ordinary-least-squares estimators and best linear unbiased estimators is discussed in the literature in two versions: in the context of a fixed model (design) matrix and in the context of all model (design) matrices having a fixed common linear part.
Baksalary, J.K., van Eijnsbergen, A.C.
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Abstract The problem of the equality between ordinary-least-squares estimators and best linear unbiased estimators is discussed in the literature in two versions: in the context of a fixed model (design) matrix and in the context of all model (design) matrices having a fixed common linear part.
Baksalary, J.K., van Eijnsbergen, A.C.
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