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  3. Mathematik, Informatik und Statistik - Open Access LMU - Teil 01/03 Podcast
  4. Efficiency properties of weighted mixed regression estimation
This paper considers the estimation of the coefficient vector in a
linear regression model subject to a set of stochastic linear
restrictions binding the regression coefficients, and presents the
method of weighted mixed regression estimation which permits to
assign possibly unequal weights to the prior information in
relation to the sample information. Efficiency properties of this
estimation procedure are analyzed when disturbances are not
necessarily normally distributed.

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