Consistency of sDE 2 in the Linear Regression Model with Correlated Errors
AbstractWe give a simple sufficient condition for consistency of the standard OLS-based estimate of the disturbance variance in the linear regression model with autocorrelated disturbances.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 16 (1991)
Issue (Month): 3 ()
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- Krämer, Walter & Hanck, Christoph, 2006.
"OLS-based estimation of the disturbance variance under spatial autocorrelation,"
2006,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Prof. Dr. Walter Krämer & Dr. Christoph Hanck, . "OLS-based estimation of the disturbance variance under spatial autocorrelation," Working Papers 7, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
- Gotu, Butte, 1999. "The consistency of s2 in the linear regression model when the disturbances are spatially correlated," Technical Reports 1999,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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