Bias of S 2 in Linear Regressions with Dependent Errors |
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| Authors: | Jean-Marie Dufour |
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| Affiliation: | 1. Département de Sciences économiques , Université de Montréal , C.P. 6128, Succursale A, Montréal , Québec , H3C 3J7 , Canada;2. Université Catholique de Louvain , 34 voie du Roman Pays, 1348 Louvainla-Neuve, Belgium |
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| Abstract: | Bounds are given for the expected value of the estimator of the error variance in linear regressions, when the errors are dependent or heteroscedastic. The bounds are valid irrespective of the covariance structure between the errors. Necessary and sufficient conditions to attain the bounds are supplied. |
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| Keywords: | Variance estimation Heteroscedastic errors Bound on bias |
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