On the bias and mean square error of the least square estimator in a regression model with two inequality constraints and multivariate t error terms

We derive and numerically evaluate the bias and mean square error of the inequality constrained least squares estimator in a model with two inequality constraints and multivariate terror terms. Our results suggest that qualitatively, the estimator properties found for models with normal errors carry...

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Veröffentlicht in:	Communications in statistics. Theory and methods 1996-01, Vol.25 (9), p.2079-2091
1. Verfasser:	Wan, Alan T.K.
Format:	Artikel
Sprache:	eng
Schlagworte:	Exact sciences and technology inequality restrictions Linear inference, regression linear regression Mathematics multivariate tdistribution Probability and statistics Sciences and techniques of general use Statistics
Online-Zugang:	Volltext
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Zusammenfassung:	We derive and numerically evaluate the bias and mean square error of the inequality constrained least squares estimator in a model with two inequality constraints and multivariate terror terms. Our results suggest that qualitatively, the estimator properties found for models with normal errors carry over to the case of multivariate terrors.
ISSN:	0361-0926 1532-415X
DOI:	10.1080/03610929608831822