The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Mar, 1971, Volume 39, Issue 2
https://doi.org/0012-9682(197103)39:2<383:ANOECM>2.0.CO;2-D
p. 383-396
Marc Nerlove
This note develops a slightly different formulation of one of the basic results presented in a recent paper by Wallace and Hussain [5] on error components models for disturbances in relationships designed to explain cross-sectional observations over time. In their discussion, Wallace and Hussain derive the inverse of the variance-covariance matrix of the disturbances by trial and error. Unfortunately, their formulation does lead to a "natural" interpretation of the generalized least squares estimates, or of the relationships of these estimates to other estimates in the same way diagonalization of the variance-covariance matrix by means of an appropriate orthogonal transformation does. The characteristic roots of the variance-covariance matrix for the disturbances in a three component model which has been studied by Wallace and Hussain are derived here. It is shown how knowledge of these roots and the characteristic vectors associated with them leads to a form of the inverse matrix which may be more readily interpreted, as well as a number of other useful results, including an interpretation of the poor small sample properties of estimates which incorporate dummy variables for each individual.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
