Sankhya: The Indian Journal of Statistics

1997, Volume 59, Series A, Pt. 2, 175-178

WHEN DO LINEAR TRANSFORMS OF ORDINARY LEAST SQUARES AND GAUSS-MARKOV ESTIMATOR COINCIDE?

By

JÜRGEN GROß,

And

GÖTZ TRENKLER , University of Dortmund

SUMMARY. This paper investigates equality of ordinary least squares and Gauss-Markov estimator when we are interested in a linear transform of the parameter vector. Some applications to the estimation of subvectors are given..

AMS (1991) subject classification. 62J05.

Key words and phrases. Linear regression model, ordinary least squares estimator, Gauss-Markov estimator .

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