A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust Adaptive, and Spectral Estimators of the Linear Model
CFDP Revision Date
This note presents a set of conditions on the deﬁning functions of regression parameter estimators of the linear model. These conditions guarantee that the estimators are symmetrically distributed about the true parameter value, and hence are median unbiased, provided the conditional distribution of the vector of errors is symmetric given the matrix of regressors. The symmetry result holds even if the regression parameters are subject to linear restrictions. If the estimators posses one or more moments, then the symmetry result also implies mean unbiasedness. Similar conditions are provided that establish the property of origin (or shift) equivariance for the estimators. Common feasible GLS, quasi-ML, robust, adaptive, and spectral estimators are seen easily to satisfy the requisite conditions.
Andrews, Donald W.K., "A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust Adaptive, and Spectral Estimators of the Linear Model" (1984). Cowles Foundation Discussion Papers. 975.