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Consistency ofs 2 in the linear regression model with correlated errors

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Abstract

We give a simple sufficient condition for consistency of the standard OLS-based estimate of the disturbance variance in the linear regression model with autocorrelated disturbances.

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References

  • Drygas H (1973) A note on a paper by T Kloek concerning the consistency of variance estimation in the linear model. Econometrica 41:175

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  • Kloek T (1972) Note on consistent estimation of the variance of the disturbances in the linear model. Econometrica 40:911–912

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  • Krämer W (1985) Trend in ökonometrischen Modellen (in German). Mathematical Systems in Economics, vol 93. Anton Hain Verlag, Königstein

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Authors and Affiliations

  1. Fachbereich Statistik, Universität Dortmund, Postfach 50005 00, D-4600, Dortmund 50

    W. Krämer &  S. Berghoff

Authors
  1. W. Krämer
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  2. S. Berghoff
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Additional information

Research supported by Deutsche Forschungsgemeinschaft (DFG). We are grateful to B. M. Poetscher for a generous supply of counterexamples.

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Krämer, W., Berghoff, S. Consistency ofs 2 in the linear regression model with correlated errors. Empirical Economics 16, 375–377 (1991). https://doi.org/10.1007/BF01206283

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  • DOI: https://doi.org/10.1007/BF01206283

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