Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Consistency and Bounds on the Bias of $S^2$ in the Linear Regression Model with Moving Average Disturbances

  • Song, Seuck-Heun (Department of Statistics, Duksung Women's Universit, Seoul 132-174)
  • Published : 1995.12.01
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Abstract

The ordinary least squares based estiamte $S^2$ of the disturbance variance is considered in the linear regression model when the disturbances follow the first-order moving-average process. It is shown that $S^2$ is weakly consistent estimate for the disturbance varaince without any restriction on the regressor matrix X. Also, simple exact bounds on the relative bias of $S^2$ are given in finite sample sizes.

Keywords

References

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