On the unbiasedness of iterated gls estimators
- 1 January 1980
- journal article
- research article
- Published by Informa UK Limited in Communications in Statistics - Theory and Methods
- Vol. 9 (5), 519-527
- https://doi.org/10.1080/03610928008827898
Abstract
We Formulate sufficienct conditions for the existonce of the expectation of iterated generalized expectation of the iterated generalized least squares estimator, which consequently guarantee its unbiasedness, The analysis is applied to the maximum likelihood estimator in the general linear model with normal disturbances, where a set of assumptions ensures convergence of the iteration as well as unbiasedness.Keywords
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