Bounds for the bias of the LS estimator of o2 in the case of a first-order autorregressive process when the regression contains a constant term

H Neudecker

No 293033, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: The LS-estimate Ti7T of a 2 and its bias are considered, in the case of regression with a constant term. Following the procedure described in an earlier paper (AE2/76) 1 e'e much more satisfactory bounds are established for ---E a2 n-k. The computations show that the LS-estimator is biased toward zero for an impressive number of values of n, k and p.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 11
Date: 1976
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293033

DOI: 10.22004/ag.econ.293033

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