Abstract: For the true model denoted by with and the misspecified model given as
with the problem of estimating a
parametric function, say is considered. The general
condition for the two best quadratic estimators for q under true and misspecified models to be equal is
investigated. Moreover, we apply our main results to a linear regression model
with the covariance matrix being compound symmetric and derive an anticipant
conclusion.
Keywords and phrases: general linear model, robustness, misspecified model, misspecification, best quadratic unbiased estimation, compound symmetric.
