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Bias of s 2 in the Linear Regression Model With Correlated Errors

The Review of Economics and Statistics 1992 74(2), 362
The authors consider the relative bias of the OLS-based estimate s(squared) of the disturbance variance in the linear regression model when disturbances are stationary AR(1). They improve upon previous bounds for the bias and show that E(s[squared]/[sigma squared]) tends to zero as autocorrelation increases whenever there is an intercept in the regression.