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Superiority comparisons between mixed regression estimators |
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| Authors: | Timo Teräsvirta |
| Institution: | Research Institute of the Finnish Economy , L?nnrotinkatu, SF, 00120, Finland |
| Abstract: | This paper gives necessary and sufficient conditions for a mixed regression estimator to be superior to another mixed estimator. The comparisons are based on the mean square error matrices of the estimators. Both estimators are allowed to be biased. |
| Keywords: | biased estimation linear model mean square error matrix prior information restricted least squares |