A Note on the Efficiency of Least-Squares Estimates

Summary A linear model is considered in which errors are independent and identically distributed with zero mean. If the error distribution is specified, except possibly for unknown parameters, the asymptotic efficiency of least-squares estimates relative to maximum-likelihood estimates can be found. For regression parameters orthogonal to the general mean the asymptotic efficiency, which is independent of the design matrix, is calculated explicitly for an Edgeworth series, for a Pearson Type VII distribution and for a log gamma distribution.