A Note on the Asymptotic Property of S2 in Linear Regression Model with Correlated Errors

Title & Authors
A Note on the Asymptotic Property of S2 in Linear Regression Model with Correlated Errors
Lee, Seung-Chun;

Abstract
An asymptotic property of the ordinary least squares estimator of the disturbance variance is considered in the regression model with correlated errors. It is shown that the convergence in probability of S$\small{^2}$ is equivalent to the asymptotic unbiasedness. Beyond the assumption on the design matrix or the variance-covariance matrix of disturbances error, the result is quite general and simplify the earlier results.
Keywords
convergence in probability;convergence in L$\small{_1}$;uniform integrability asymptotic unbiasedness;strictly stationary process;
Language
English
Cited by
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