Useful invariance results for generalized regression models |
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Authors: | Trevor S. Breusch |
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Affiliation: | University of Southampton, Southampton SO9 5NH, UK |
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Abstract: | Certain exact finite-sample invariance results are established for the usual estimators and test statistics in the generalized regression model with non-scalar covariance matrix. By inferring properties of an estimator from the criterion function which defines it, results can be obtained even when there is no explicit solution for the estimator as a function of the data (as, e.g., with maximum likelihood). Applications are illustrated by an examination of some recently published Monte Carlo simulation studies. |
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