Journal of the American Statistical Association · 1973 · 80 citations · 8 references
BusinessEconomicsEconometricsStatistical ModelingTime Series AnalysisGeneralized Linear ModelsMaximum Likelihood EstimationMicroeconometricsMonte Carlo MethodsVariance ComponentsDependent VariablesGeneralized Estimating EquationsGeneralized Least Squares EstimationHeteroscedastic Variance ComponentsLagged Dependent Variable ModelsMonte Carlo EstimationVariance Component EstimationVariance Components Analysis
Abstract The article investigates by means of Monte Carlo experiments the performance of the ML method, the MINQUE method and several other two-step Generalized Least Squares methods in estimating the slope coefficient in a variance components model. It concludes that in models with no lagged dependent variables there is nothing much to choose among these estimators.
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Estimation of Variance and Covariance Components
Charles Henderson · Biometrics · 1953 · 1.3K citations