The asymptotic unbiasedness of S2 in the linear regression model with AR(1)-disturbances
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The OLS-estimator of the disturbance variance in the Linear Regression Model is shown to be asymptotically unbiased in the context of AR(1)-disturbances, although for any given design, E(s2/σ2) tends to zero as correlation increases.
KeywordsLinear Regression Model Relative Bias Full Column Rank Great Root Positive Autocorrelation
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- KIVIET, J and KRÄMER, W. (1990): “Bias of S 2 in the Linear Regression Model with Autocorrelated Errors”, Paper given at the 6th World Congress of the Econometric Society, Barcelona.Google Scholar