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On the performance of the ordinary least squares method under an error component model |
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| Authors: | Parimal Mukhopadhyay Rainer Schwabe |
| Affiliation: | 1. Indian Statistical Institute, 203 B.T. Road, 700 035, Calcutta, India 2. University of Technology, Schlo?gartenstra?e 7, D-64289, Darmstadt, Germany |
| Abstract: | Starting from the one-dimensional results by Wang et al (1994) we consider the performance of the ordinary least squares estimator in comparison to the best linear unbiased estimator under an error component model with random effects in units and time. Upper bounds are derived for the first-order approximation to the difference between both estimators and for the spectral norm of the difference between their dispersion matrices. |
| Keywords: | Ordinary least squares estimate Best linear unbiased estimate Euclidean norm Spectral norm First-order approximation |
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