Bias of s2 in Linear Regression Model with correlated errors

Jan Kiviet and Walter Krämer

No 293144, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: We derive bounds for the relative bias of the 0LS-based estimate s2 of the disturbance variance in the linear regression model when disturbances are stationary AR(1) and show that this bias vanishes as sample size increases (i.e. s2 is asymptotically unbiased irrespective of the particular form of the regressor sequence).

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 16
Date: 1989-11
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Related works:
Journal Article: Bias of SDE 2 in the Linear Regression Model with Correlated Errors (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293144

DOI: 10.22004/ag.econ.293144

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