The General Linear Model III

  • Phoebus Dhrymes


In the two preceding chapters we have set forth, in some detail, the estimation of parameters and the properties of the resulting estimators in the context of the standard GLM. We recall that rather stringent assumptions were made relative to the error process and the explanatory variables. Now that the exposition has been completed it behooves us to inquire as to what happens when some, or all, of these assumptions are violated. The motivation is at least twofold. First, situations may, in fact, arise in which some nonstandard assumption may be appropriate. In such a case we would want to know how to handle the problem. Second, we would like to know what is the cost in terms of the properties of the resulting estimators if we operate under the standard assumptions that, as it turns out, are not valid. Thus, even though we may not know that the standard assumptions are, in part, violated we would like to know what is the cost in case they are violated.


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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Phoebus Dhrymes
    • 1
  1. 1.New YorkUSA

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