A Note on the Asymptotic Property of S2 in Linear Regression Model with Correlated Errors Lee, Seung-Chun;
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 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.
convergence in probability;convergence in L;uniform integrability asymptotic unbiasedness;strictly stationary process;
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