Consistency ofs
2 in the linear regression model with correlated errors |
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| Authors: | Prof Dr W Krämer Dipl-Stat S Berghoff |
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| Institution: | 1. Fachbereich Statistik, Universit?t Dortmund, Postfach 50005 00, D-4600, Dortmund 50
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| Abstract: | 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.Research supported by Deutsche Forschungsgemeinschaft (DFG). We are grateful to B. M. Poetscher for a generous supply of counterexamples. |
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