The heteroskedastic linear regression model and the Hadamard product a note

Heinz Neudecker, Wolfgang Polasek, Shuangzhe LIU

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

A unified matrix approach to the heteroskedastic linear regression model and its estimation is presented. The Hadamard product plays an essential role. Our approach creates the possibility of treating not only the standard linear but also nonlinear specifications. Special attention is being paid to maximum-likelihood estimation.

Original languageEnglish
Pages (from-to)361-366
Number of pages6
JournalJournal of Econometrics
Volume68
Issue number2
DOIs
Publication statusPublished - 1 Jan 1995
Externally publishedYes

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