A Classical Problem in Linear Regression or How to Estimate the Mean of a Univariate Normal Distribution with Known Variance
CENTER Working Paper No. 9660
Posted: 22 Oct 1996
Date Written: 1996
The problem considered is the estimation of "k" coefficients of interest in a linear regression model when the (k+1)st coefficient is of no interest. It is shown that this problem is equivalent to the problem of estimating the unknown mean of a univariate normal distribution with variance one given a single observation.
JEL Classification: C10, C13, C19
Suggested Citation: Suggested Citation