Properties of BLUEs in full versus small linear models
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Date
2023
Open Access Location
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor and Francis Group
Rights
(c) 2022 The Author/s
CC BY-NC-ND 4.0
CC BY-NC-ND 4.0
Abstract
In this article we consider the partitioned linear model M12= {y,X1β1+X2β2,V} and the corresponding small model M1={y,X1β1,V}. We focus on comparing the best linear unbiased estimators, BLUEs, of X1β1 under M12 and M1. In other words, we are interested in the effect of adding regressors on the BLUEs. Particular attention is paid on the consistency of the model, that is, whether the realized value of the response vector y belongs to the column space of (X1:V) or (X1:X2:V)
Description
Keywords
Best linear unbiased estimator, BLUE, Löwner ordering, partitioned linear model, adding regressors
Citation
Haslett SJ, Markiewicz A, Puntanen S. (2023). Properties of BLUEs in full versus small linear models. Communications in Statistics - Theory and Methods. 52. 21. (pp. 7684-7698).