Abstract
We derive and numerically evaluate the bias and mean square error of the inequality constrained least squares estimator in a model with two inequality constraints and multivariate t error terms. Our results suggest that qualitatively, the estimator properties found for models with normal errors carry over to the case of multivariate t errors. Copyright ©1996 by Marcel Dekker, Inc.
| Original language | English |
|---|---|
| Pages (from-to) | 2079-2091 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 25 |
| Issue number | 9 |
| DOIs | |
| Publication status | Published - 1996 |
| Externally published | Yes |
Research Keywords
- Inequality restrictions
- Linear regression
- Multivariate t distribution
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