THE HETEROSKEDASTIC LINEAR-REGRESSION MODEL AND THE HADAMARD PRODUCT - A NOTE

Authors
NEUDECKER H POLASEK W LIU S
Citation
H. Neudecker et al., THE HETEROSKEDASTIC LINEAR-REGRESSION MODEL AND THE HADAMARD PRODUCT - A NOTE, Journal of econometrics, 68(2), 1995, pp. 361-366
Citations number
9
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
68
Issue
2
Year of publication
1995
Pages
361 - 366
Database
ISI
SICI code
0304-4076(1995)68:2<361:THLMAT>2.0.ZU;2-9
Abstract
A unified matrix approach to the heteroskedastic linear regression mod el and its estimation is presented. The Hadamard product plays an esse ntial role. Our approach creates the possibility of treating not only the standard linear but also nonlinear specifications. Special attenti on is being paid to maximum-likelihood estimation.