Chapter 2. Generalized Least Squares Estimators

  1. Takeaki Kariya1 and
  2. Hiroshi Kurata2

Published Online: 8 SEP 2004

DOI: 10.1002/0470866993.ch2

Generalized Least Squares

Generalized Least Squares

How to Cite

Kariya, T. and Kurata, H. (2004) Generalized Least Squares Estimators, in Generalized Least Squares, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470866993.ch2

Author Information

  1. 1

    Kyoto University and Meiji University, Japan

  2. 2

    University of Tokyo, Japan

Publication History

  1. Published Online: 8 SEP 2004
  2. Published Print: 25 JUN 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470866979

Online ISBN: 9780470866993

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Summary

  • Overview

  • General Linear Regression Model

  • Generalized Least Squares Estimators

  • Finiteness of Moments and Typical GLSEs

  • Empirical Example: CO2 Emission Data

  • Empirical Example: Bond Price Data

  • Problems