The effects of autocorrelation among errors on the consistency property of OLS estimator

DOI10.1080/00949658708811007zbMath0634.62066OpenAlexW2081519106MaRDI QIDQ3773104

Subhash C. Sharma

Publication date: 1987

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658708811007

zbMATH Keywords

rate of convergenceconsistencyautocorrelationChebyshev's inequalityconvergence in probabilityOLS estimatorordinary least squares estimatorsAR(1) errorsMA(1) errorstrend modelARMA(1,1) errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (1)

The sensitivity of OLS when the variance matrix is (partially) unknown

Cites Work

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• The effects of autocorrelation among errors on the consistency property of OLS variance estimator
• Estimating the autocorrelated error model with trended data
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• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• Specification of the Disturbance for Efficient Estimation--An Extended Analysis
• 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
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• Specification of the Disturbance for Efficient Estimation
• Bounds on the Variance of Regression Coefficients Due to Heteroscedastic or Autoregressive Errors
• A Transformation Used to Circumvent the Problem of Autocorrelation
• Linear Statistical Inference and its Applications

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