On the bias and mean square error of the least square estimator in a regression model with two inequality constraints and multivariate t error terms

Abstract

We derive and numerically evaluate the bias and mean square error of the inequality constrained least squares estimator in a model with two inequality constraints and multivariate terror terms. Our results suggest that qualitatively, the estimator properties found for models with normal errors carry over to the case of multivariate terrors.

Keywords:

• inequality restrictions
• linear regression
• multivariate tdistribution