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Statistical Papers

, Volume 35, Issue 1, pp 323–328 | Cite as

Consistency, asymptotic unbiasedness and bounds on the bias of s2 in the linear regression model with error component disturbances

  • B. H. Baltagi
  • W. Krämer
Articles

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.

Key Words

Variance Estimation Error Components Models Bounds on Bias 

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Copyright information

© Springer-Verlag 1994

Authors and Affiliations

  • B. H. Baltagi
    • 1
  • W. Krämer
    • 2
  1. 1.Department of EconomicsTexas A&M UniversityCollege StationU.S.A.
  2. 2.Department of StatisticsUniversity of DortmundDortmundGermany

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