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The consistency of s2 in the linear regression model when the disturbances are spatially correlated

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  • Gotu, Butte

Abstract

Conditions for the consistency of the estimator s2 of the variance of the disturbance a2u under first-order spatial error processes are given.

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  • Gotu, Butte, 1999. "The consistency of s2 in the linear regression model when the disturbances are spatially correlated," Technical Reports 1999,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199907
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    References listed on IDEAS

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    1. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    2. Neudecker, H., 1978. "Bounds for the bias of the LS estimator of o^2 in the case of a first-order autoregressive process," University of Amsterdam, Actuarial Science and Econometrics Archive 293026, University of Amsterdam, Faculty of Economics and Business.
    3. Kiviet, Jan F & Kramer, Walter, 1992. "Bias of SDE 2 in the Linear Regression Model with Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 362-365, May.
    4. Neudecker, Heinz, 1977. "Bounds for the Bias of the Least Squares Estimator of s2 in the Case of a First-order Autoregressive Process (Positive Autocorrelation)," Econometrica, Econometric Society, vol. 45(5), pages 1257-1262, July.
    5. Dufour, Jean-Marie, 1988. "Estimators of the disturbance variance in econometric models : Small-sample bias and the existence of moments," Journal of Econometrics, Elsevier, vol. 37(2), pages 277-292, February.
    6. Fiebig, Denzil G. & McAleer, Michael & Bartels, Robert, 1992. "Properties of ordinary least squares estimators in regression models with nonspherical disturbances," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 321-334.
    7. Kramer, Walter & Berghoff, Sonja, 1991. "Consistency of sDE 2 in the Linear Regression Model with Correlated Errors," Empirical Economics, Springer, vol. 16(3), pages 375-377.
    8. Neudecker, H, 1978. "Bounds for the Bias of the LS Estimator of [sigma][superscript]2 in the Case of a First-Order (Positive) Autoregressive Process When the Regression Contains a Constant Term," Econometrica, Econometric Society, vol. 46(5), pages 1223-1226, September.
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