论文信息 - Consistency ofs2 in the linear regression model with correlated errors

Consistency ofs2 in the linear regression model with correlated errors

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.

W. Krämer | S. Berghoff

[1] A NOTE ON A PAPER BY T. KLOEK CONCERNING THE CONSISTENCY OF VARIANCE ESTIMATION IN THE LINEAR MODEL , 1975 .

[2] T. Kloek. Note on Consistent Estimation of the Variance of the Disturbances in the Linear Model , 1972 .