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Consistency and asymptotic unbiasedness of S2 in the serially correlated error components regression model for panel data

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Abstract

TheOLS-estimator of the disturbance variance in the linear regression model for panel data is shown to be asymptotically unbiased and weakly consistent when the disturbances follow an error component model with serially correlated time effects.

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Authors and Affiliations

  1. Department of Statistics, Duksung Women's University, 419 Ssangmun-Dong, Gangbuk-Ku, 132-714, Seoul, Korea

    Seuck Heun Song

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  1. Seuck Heun Song
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Song, S.H. Consistency and asymptotic unbiasedness of S2 in the serially correlated error components regression model for panel data. Statistical Papers 37, 267–275 (1996). https://doi.org/10.1007/BF02926588

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  • DOI: https://doi.org/10.1007/BF02926588

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