Bounds for the Bias of the Least Squares Estimator of @s^2 in the Case of a First-Order Autoregressive Process (Positive Autocorrelation)
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Publication:4140224
DOI10.2307/1914071zbMath0365.62085OpenAlexW1979532925MaRDI QIDQ4140224
Publication date: 1977
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1914071
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Eigenvalues, singular values, and eigenvectors (15A18) Calculus of vector functions (26B12)
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Comparison of MINQUE and simple estimate of the error variance in the general linear models ⋮ Consistency, asymptotic unbiasedness and bounds on the bias of \(s^ 2\) in the linear regression model with error component disturbances ⋮ Estimators of the disturbance variance in econometric models. Small- sample bias and the existence of moments ⋮ A note on \(S^{2}\) in a spatially correlated error components regression model for panel data ⋮ The effects of autocorrelation among errors on the consistency property of OLS estimator ⋮ 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
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