Estimators of the disturbance variance in econometric models. Small- sample bias and the existence of moments

DOI10.1016/0304-4076(88)90007-3zbMath0667.62077OpenAlexW1570162676MaRDI QIDQ1117662

Jean-Marie Dufour

Publication date: 1988

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(88)90007-3

zbMATH Keywords

entropymaximum likelihoodgeneralized least squaresfinite momentsresidualsexact boundscorrelation structuregeneral linear modelsvariance estimatorsinformation inequalitynon-linear modelsstochastic regressorsnormal disturbancesexpected value of standard least- squares estimatorsweighted Lp-estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) General nonlinear regression (62J02)

Related Items (6)

Consistency, asymptotic unbiasedness and bounds on the bias of \(s^ 2\) in the linear regression model with error component disturbances ⋮ Bias approximations for covariance parameter estimators in the linear model with ar(1) errors ⋮ A note on \(S^{2}\) in a spatially correlated error components regression model for panel data ⋮ Properties of ordinary least squares estimators in regression models with nonspherical disturbances ⋮ Consistency and asymptotic unbiasedness of \(S^ 2\) in the serially correlated error components regression model for panel data ⋮ A note on \(S^2\) in a linear regression model based on two-stage sampling data

Cites Work

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• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• Bounds for the Bias of the Least Squares Estimator of @s^2 in the Case of a First-Order Autoregressive Process (Positive Autocorrelation)
• Bounds for the Bias of the LS Estimator of @s^2 in the Case of a First-Order (Positive) Autoregressive Process when the Regression Contains a Constant Term
• Bounds on the Variance of Regression Coefficients Due to Heteroscedastic or Autoregressive Errors
• Analytic Inequalities

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