Abstract
The paper presents the essentials of the SURE model and the estimation of its parameters β and ω. Two alternative compact representations of the model are being used. The parameter β is estimated by least squares (LS), generalized least squares (GLS) and maximum likelihood (ML) (under normality).
For ω two estimators are being considered, viz an LS-related estimator and a maximum likelihood estimator (under normality). Attention is being given to the study of asymptotic properties of all estimators examined. It turns out that the LS-related and ML estimators of ω follow the same asymptotic (normal) distribution.
Efficiency comparisons for the various estimators of β conclude the paper.
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Heijmans, R., Neudecker, H. Estimation of the SURE model. Statistical Papers 39, 423–430 (1998). https://doi.org/10.1007/BF02927105
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DOI: https://doi.org/10.1007/BF02927105