BIAS OF S2 IN THE LINEAR-REGRESSION MODEL WITH CORRELATED ERRORS

被引：8

作者：

KIVIET, JF ^{[1
]}

KRAMER, W ^{[1
]}

机构：

[1] UNIV DORTMUND, W-4600 DORTMUND 50, GERMANY

来源：

REVIEW OF ECONOMICS AND STATISTICS | 1992年 / 74卷 / 02期

关键词：

D O I：

10.2307/2109673

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the relative bias of the OLS-based estimate s2 of the disturbance variance in the linear regression model when disturbances are stationary AR(1). We improve upon previous bounds for the bias and show that E(s2/sigma-2) tends to zero as autocorrelation increases whenever there is an intercept in the regression.

引用

页码：362 / 365

页数：4

共 50 条

[1] ON THE PERFORMANCE OF BIASED-ESTIMATORS IN THE LINEAR-REGRESSION MODEL WITH CORRELATED OR HETEROSCEDASTIC ERRORS
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[J]. JOURNAL OF ECONOMETRICS, 1984, 25 (1-2) : 179 - 190
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[10] CONSISTENCY, ASYMPTOTIC UNBIASEDNESS AND BOUNDS ON THE BIAS OF S(2) IN THE LINEAR-REGRESSION MODEL WITH ERROR COMPONENT DISTURBANCES
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