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

See all articles by J.R. Magnus

J.R. Magnus

Vrije Universiteit Amsterdam, School of Business and Economics

J. Durbin

London School of Economics & Political Science (LSE)

Date Written: 1996

Abstract

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

Magnus, Jan R. and Durbin, J., A Classical Problem in Linear Regression or How to Estimate the Mean of a Univariate Normal Distribution with Known Variance (1996). CENTER Working Paper No. 9660. Available at SSRN: https://ssrn.com/abstract=4346

Jan R. Magnus (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

J. Durbin

London School of Economics & Political Science (LSE)

Houghton Street
London, WC2A 2AE
United Kingdom

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