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Efficiency of Several Generalised Least Squares Estimators


Misra P N

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Econometric theory, as developed till today includes a number of estimation procedures whose small and large sample properties have been analysed at different places by different authors. Looking at these works one can find a few contradictions regarding efficiency of some powerful methods of estimation. Present paper highlights these contradictions and then provides a systematic analysis of asymptotic efficiency of a number of estimation procedures. Effect of orthogonality of explanatory variables on the efficiency of various generalised least squares estimators is also examined.