Bias of s2 in Linear Regression Model with correlated errors
Jan Kiviet () and
No 293144, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business
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)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Journal Article: Bias of SDE 2 in the Linear Regression Model with Correlated Errors (1992)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293144
Access Statistics for this paper
More papers in University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().