Abstract
In this paper we consider the full rank regression model with arbitrary covariance matrix: Y = Xß + ε. It is shown that the effect of restricting the information Y to T = A′ Y may be analyzed through an associatedi regression problem which is amenable to solution by two step least squares. The results are applied to the important case of missing observations, where some classical results are rederived.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have