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| Author: | Kramer, W. Berghof, S. |
| Title: | Consistency of s2 in the linear regression model with correlated errors |
| Journal: | Empirical Economics
1991 : VOL. 16:3, p.375-377 |
| Index terms: | STATISTICAL METHODS REGRESSION ANALYSIS MULTIPLE REGRESSION ANALYSIS |
| Language: | eng |
| Abstract: | It has long been known (Kloek, 1972, etc) that the conditions for s2 to be consistent are much weaker than the ones for the consistency of beta tilda, in a linear regression model. The present paper extends the classical results to the case where the errors are correlated. It can easily be generalized to rank deficient matrices, but it does not apply to dynamic models. |
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