Jump to ContentJump to Main Navigation
Introductory EconometricsIntuition, Proof, and Practice$
Users without a subscription are not able to see the full content.

Jeffrey Zax

Print publication date: 2011

Print ISBN-13: 9780804772624

Published to Stanford Scholarship Online: June 2013

DOI: 10.11126/stanford/9780804772624.001.0001

Show Summary Details
Page of

PRINTED FROM STANFORD SCHOLARSHIP ONLINE (www.stanford.universitypressscholarship.com). (c) Copyright Stanford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in SSO for personal use.date: 14 October 2019

What If the Disturbances Are Correlated?

What If the Disturbances Are Correlated?

Chapter:
(p.321) Chapter 9 What If the Disturbances Are Correlated?
Source:
Introductory Econometrics
Publisher:
Stanford University Press
DOI:10.11126/stanford/9780804772624.003.0009

This chapter deals with the possibility that the disturbances are correlated with each other. In this case, ordinary least squares (OLS) estimates are still unbiased. However, they are no longer best linear unbiased (BLU). In addition, the true variances of b and a are probably different from those given by the OLS variance formulas. In order to conduct inference, we can estimate their true variances. Best linear unbiased estimators can also be obtained by transforming the data so that the transformed disturbances have the properties of Chapter 5.

Keywords:   regression analysis, ordinary least squares, best linear unbiased estimators, autocorrelation, inference, variance

Stanford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us.