Kantorovich inequalities and efficiency comparisons for several classes of estimators in linear models |
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Authors: | S. Liu,& H. Neudecker |
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Affiliation: | Institute of Actuarial Science and Econometrics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands |
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Abstract: | New matrix, determinant and trace versions of the Kantorovich inequality (KI) involving two positive definite matrices are presented. Some of these are used to study the efficiencies of minimum-distance (MD) estimators, generalized method-of-moments (GMM) estimators and several estimators specific to longitudinal or panel-data analysis. They are also used to give upper bounds for the determinant and trace of the asymptotic variance matrix of a weighted least-squares (WLS) estimator in the generalized linear model. |
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Keywords: | Matrix determinant and trace Cauchy–Schwarz inequality (CSI) minimum-distance estimators generalized method-of-moments estimators longitudinal or panel-data analysis |
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