Toutenburg, Helge; Srivastava, V. K.; Schaffrin, B.
Efficiency properties of weighted mixed regression estimation.
Collaborative Research Center 386, Discussion Paper 122
This paper considers the estimation of the coefficient vector in a linear regression model subject to a set of stochastic linear restrictions binding the regression coefficients, and presents the method of weighted mixed regression estimation which permits to assign possibly unequal weights to the prior information in relation to the sample information. Efficiency properties of this estimation procedure are analyzed when disturbances are not necessarily normally distributed.