Consistency,asymptotic unbiasedness and bounds on the bias of s2 in the linear regression model with error component disturbances |
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| Authors: | B H Baltagi W Krämer |
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| Institution: | 1. Department of Economics, Texas A&M University, 77843-4228, College Station, Texas, U.S.A.
2. Department of Statistics, University of Dortmund, Postfach 50 05 00, D-44221, Dortmund, Germany
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| Abstract: | 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. |
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