A Simplification of the Blus Procedure for Analyzing Regression Disturbances
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Abstract
This article deals with BLUS residuals in regression analysis, which have the property of being uncorrelated and having constant variance under the null hypothesis that the "true" disturbances have the same property. It is a continuation of the author's earlier article (Theil, 1965), and the results reported here are the following: (1) the BLUS residuals can be expressed conveniently in terms of the least-squares residuals by means of matrix operations of the order K (K being the number of unknown coefficients in the regression), (2) the BLUS residuals satisfy a stronger optimality condition than the one stated in Theil (1965), and (3) a simple expression is obtained for the coefficient vector which is implied by the BLUS residuals.