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A NOTE ON A PAPER BY T. KLOEK CONCERNING THE CONSISTENCY OF VARIANCE ESTIMATION IN THE LINEAR MODEL.
- Source :
- Econometrica; Jan1975, Vol. 43 Issue 1, p175-175, 1p
- Publication Year :
- 1975
-
Abstract
- The note comments on the article by T. Kloek from the 1972 issue of "Econometrica" about the consistency of variance estimation in the linear model. It considers the usual linear model with n observations and k explanatory variables which is formally described by y<subscript>n</subscript> = X<subscript>n</subscript>β + ε<subscript>n</subscript>. The note shows that T. Kloek's assumption that rank (X<subscript>n</subscript>) = k (at least for some n ≥ n<subscript>0</subscript>) is not necessary either to establish consistency.
Details
- Language :
- English
- ISSN :
- 00129682
- Volume :
- 43
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Econometrica
- Publication Type :
- Academic Journal
- Accession number :
- 6857457
- Full Text :
- https://doi.org/10.2307/1913424