CONSISTENCY, ASYMPTOTIC UNBIASEDNESS AND BOUNDS ON THE BIAS OF S(2) IN THE LINEAR-REGRESSION MODEL WITH ERROR COMPONENT DISTURBANCES

被引：7

作者：

BALTAGI, BH

KRAMER, W

机构：

[1] TEXAS A&M UNIV,DEPT ECON,COLLEGE STN,TX 77843

[2] UNIV DORTMUND,DEPT STAT,D-44221 DORTMUND,GERMANY

来源：

STATISTICAL PAPERS | 1994年 / 35卷 / 04期

关键词：

VARIANCE ESTIMATION; ERROR COMPONENTS MODELS; BOUNDS ON BIAS;

D O I：

10.1007/BF02926424

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The OLS estimator of the disturbance variance in the linear regression model with error component disturbances is shown to be weakly consistent and asymptotically unbiased without any restrictions on the regressor matrix. Also, simple exact bounds on the expected value of s2 are given for both the one-way and two-way error component models.

引用

页码：323 / 328

页数：6

共 15 条

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