The Review of Economics and Statistics Vol. 74 No. 2 1992
Bias of s 2 in the Linear Regression Model With Correlated Errors
Abstract
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.
- DOI
- 10.2307/2109673
- Volume
- 74
- Issue
- 2
- Pages
- 362
- Sources
- crossref openalex