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Consistency of sDE 2 in the Linear Regression Model with Correlated Errors


  • Kramer, Walter
  • Berghoff, Sonja


We 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.

Suggested Citation

  • Kramer, Walter & Berghoff, Sonja, 1991. "Consistency of sDE 2 in the Linear Regression Model with Correlated Errors," Empirical Economics, Springer, vol. 16(3), pages 375-377.
  • Handle: RePEc:spr:empeco:v:16:y:1991:i:3:p:375-77

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    References listed on IDEAS

    1. Christian Dustmann, 2004. "Parental background, secondary school track choice, and wages," Oxford Economic Papers, Oxford University Press, vol. 56(2), pages 209-230, April.
    2. Imbens, Guido W & Angrist, Joshua D, 1994. "Identification and Estimation of Local Average Treatment Effects," Econometrica, Econometric Society, vol. 62(2), pages 467-475, March.
    3. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
    4. Janet Currie, 2001. "Early Childhood Education Programs," Journal of Economic Perspectives, American Economic Association, vol. 15(2), pages 213-238, Spring.
    5. Fredriksson, Peter & Öckert, Björn, 2005. "Is Early Learning Really More Productive? The Effect of School Starting Age on School and Labor Market Performance," IZA Discussion Papers 1659, Institute for the Study of Labor (IZA).
    6. Edwin Leuven & Mikael Lindahl & Hessel Oosterbeek & Dinand Webbink, 2004. "New evidence on the effect of time in school on early achievement," HEW 0410001, EconWPA.
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    Cited by:

    1. Prof. Dr. Walter Krämer & Dr. Christoph Hanck, "undated". "OLS-based estimation of the disturbance variance under spatial autocorrelation," Working Papers 7, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
    2. 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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