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

DOI10.2307/1911447zbMath0385.62067OpenAlexW4230501269MaRDI QIDQ4166093

Heinz Neudecker

Publication date: 1978

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911447

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

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

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