Optimal properties of the least-squares coefficient estimator in the linear model with scalar error covariance matrix are shown to carry over to the case where the ...

In a multivariate regression model, the errors in different equations may be correlated. In this case the efficiency of the estimation may be improved by taking these cross-equation correlations into ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...