Kantorovich inequalities and efficiency comparisons for several classes of estimators in linear models

S. Liu, H. Neudecker

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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.

Original languageEnglish
Pages (from-to)345-355
Number of pages11
JournalStatistica Neerlandica
Issue number3
Publication statusPublished - 1 Jan 1997
Externally publishedYes


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