Toutenburg, Helge; Fieger, A.; Heumann, Christian
Regression modelling with fixed effects - missing values and other problems.
Sonderforschungsbereich 386, Discussion Paper 123
The paper considers new devices to predict the response variable using a convex target function weighting the response and its expectation. A MDEP-matrix superiority condition is given concerning BLUE, RLSE and mixed estimator where the latter is used in case of imputation for missing values. A small simulation study compares the alternative estimators. Finally the detection of non-MCAR processes in linear regression is discussed.