Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Asymptotic Properties of Least Square Estimator of Disturbance Variance in the Linear Regression Model with MA(q)-Disturbances

  • Jong Hyup Lee (Department of Statistics, Sungshin Women's University, Seoul 136-742, Korea) ;
  • Seuck Heum Song (Department of Statistics, Duksung Women's University, Seoul 132-742, Korea)
  • Published : 1997.04.01
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Abstract

The ordinary least squares estimator $S^2$ for the variance of the disturbances is considered in the linear regression model with sutocorrelated disturbances. It is proved that the OLS-estimator of disturbance variance is asymptotically unbiased and weakly consistent, when the distrubances are generated by an MA(q) process. In particular, the asymptotic unbiasedness and consistency of $S^2$ is satisfied without any restriction on the regressor matrix.

Keywords

References

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