Estimation of Actual Response Coefficients in the Hildreth-Houck Random Coefficient Model

Abstract

When the response coefficients in the general linear model are regarded as random variables, the mean of the distribution of these coefficients can be estimated using methods suggested by Hildreth and Houck. This article derives the minimum variance, linear, unbiased estimator for the actual response coefficients which were realized over the sample period. One might suspect that the best estimator of the mean of the response coefficients is also best when estimating the actual response coefficients. This is shown to be false.