Toutenburg, Helge; Srivastava, V. K. (2001): A Revisit to the Application of Weighted Mixed Regression Estimation in Linear Regression Models with Missing Data. Sonderforschungsbereich 386, Discussion Paper 241




This paper deals with the application of the weighted mixed regression estimation of the coefficients in a linear model when some values of some of the regressors are missing. Taking the weight factor as an arbitrary scalar, the performance of weighted mixed regression estimator in relation to the conventional least squares and mixed regression estimators is analyzed and the choice of scalar is discussed. Then taking the weight factor as a specific matrix, a family of estimators is proposed and its performance properties under the criteria of bias vector and mean squared error matrix are analyzed.