Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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The Asymptotic Unbiasedness of $S^2$ in the Linear Regression Model with Moving Average or Particular S-th Order Autocorrelated Disturbances

  • Song, Seuck-Heun (Department of Statistics, Dortmund University, Dortmund 44221, Germany)
  • Published : 1994.06.01
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Abstract

The OLS-estimator of the distribance variance in the linear regression model is shown to be asymptotically unbiased when the disturbances are MA(1)-process or particular s-th autocorrelated AR(s)-process.

Keywords

References

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