Bias of S^2 in Linear Regressions with Dependent Errors

Authors
Dufour, Jean-Marie
Citation
Dufour, Jean-marie, Bias of S^2 in Linear Regressions with Dependent Errors, American statistician , 40(4), 1986, pp. 284-285
Journal title
American statistician → ACNP
ISSN journal
00031305
Volume
40
Issue
4
Year of publication
1986
Pages
284 - 285
Database
ACNP
SICI code
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.