Bias of SDE 2 in the Linear Regression Model with Correlated Errors
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. Copyright 1992 by MIT Press.
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Volume (Year): 74 (1992)
Issue (Month): 2 (May)
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