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EXISTENCE OF CONSISTENT ESTIMATES OF LINEAR REGRESSION COEFFICIENTS WHEN THE ERROR VARIANCES ARE UNEQUAL
Linear regression model consistency
2007/12/10
摘要 Consider the linear regression model Y_i=x_i′β+σ_ie_i,i=1,…,n,…, where E(e_i)=0, E(e_ie_j)=δ_(ij), 00. This paper shows that (i) if σ_i~2,i=1,2…, are known, then the necessary and sufficient condit...