Bounds for the bias of the LS estimator of o^2 in the case of a first-order autoregressive process

H. Neudecker

No 293026, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: The LS-estimator Ti7.7i of a 2 and its bias are considered. Bounds are then established for 2- by means of a well-known theorem by Anderson. a2 n-k The same bounds can be derived by a direct applicant of the Courant-Fischer min-max theorem. Following Anderson and Grenander-Szeg6 one can find approximations to these bounds.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 11
Date: 1978
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293026

DOI: 10.22004/ag.econ.293026

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