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A Quality Index for Economic Journals

Winston C. Bush; Paul W. Hamelman; Robert J. Staaf

It is also perhaps worth considering the case in which the alternative model y Zy + co contains the same regressors as the true model (i.e., Z X). Then the above proof shows that the probability limit of the estimated error variance is smaller when the true value of p is used to perform the Orcutt transformation than when any other value po is used. (This, in fact, constitutes a relatively simple proof of the consistency of the maximum likelihood estimate of p, for a correctly specified model.)

DOI

10.2307/1927541

Volume

56 (1)

Pages

123

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