Journal of the American Statistical Association · 1972 · 13 citations · 3 references
Econometric ModelVolatility ModelingMultivariate Stochastic VolatilityEngineeringAsset PricingDispersion MatrixHeteroskedastic VariancesEstimation StatisticSufficient ConditionsEconometricsGauss-markoff Linear ModelBusinessLinear ModelsStatistical InferenceEconometric MethodEstimation TheoryStatisticsFinance
Abstract Let y = Xβ+e be a Gauss-Markoff linear model such that E(e) = 0 and D(e), the dispersion matrix of the error vector, is a diagonal matrix whose ith diagonal element is σ2 i, the variance of the ith observation yi. Rao has recently brought out two sets of sufficient conditions (on X) for the MINQU-estimability of all the heteroskedastic variances. In this note, we have derived a set of necessary and sufficient conditions for the same purpose.
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