IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v67y1998i2p297-305.html
   My bibliography  Save this article

A Generalization of Rao's Covariance Structure with Applications to Several Linear Models

Author

Listed:
  • Kurata, Hiroshi

Abstract

This paper presents a generalization of Rao's covariance structure. In a general linear regression model, we classify the error covariance structure into several categories and investigate the efficiency of the ordinary least squares estimator (OLSE) relative to the Gauss-Markov estimator (GME). The classification criterion considered here is the rank of the covariance matrix of the difference between the OLSE and the GME. Hence our classification includes Rao's covariance structure. The results are applied to models with special structures: a general multivariate analysis of variance model, a seemingly unrelated regression model, and a serial correlation model.

Suggested Citation

  • Kurata, Hiroshi, 1998. "A Generalization of Rao's Covariance Structure with Applications to Several Linear Models," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 297-305, November.
  • Handle: RePEc:eee:jmvana:v:67:y:1998:i:2:p:297-305
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(98)91771-7
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:67:y:1998:i:2:p:297-305. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.