Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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The Asymptotic Unbiasedness of $S^2$ in the Linear Regression Model with Dependent Errors

  • Lee, Sang-Yeol (Department of Statistics, Sookmyung Women's University, Yongsan-ku, Seoul, 140-742, Korea.) ;
  • Kim, Young-Won (This Work Was supported by Sookmyung Women`s University Research Fund in)
  • Published : 1996.06.01
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Abstract

The ordinary least squares estimator of the disturbance variance in the linear regression model with stationary errors is shown to be asymptotically unbiased when the error process has a spectral density bounded from the above and away from zero. Such error processes cover a broad class of stationary processes, including ARMA processes.

Keywords

References

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