A new class of disturbance estimators in the general linear model

A priori fixed covariance matrices of disturbance estimators

“…The more general estimation problem, where r is not assumed to be equal to a 2 I, where 0 is not assumed to be idempotent, and where E(wu)'(w u) is replaced by E(wu)'ayu) with Q positive definite, is solved in Dubbelman, Abrahamse and Koerts (1970).…”