Bounds on the Variance of Regression Coefficients Due to Heteroscedastic or Autoregressive Errors
异方差或自回归误差引致的回归系数方差界
In applications of linear regression analysis, the unknown error covariance matrix has to be somehow estimated. This can lead to biased estimates of the covariance matrix of the regression coefficients. Since such bias is difficult to eliminate completely, its sensitivity to alternative estimates of error covariances is studied by Watson, Theil, Malinvaud, and others with the help of bounds on the bias derived under certain assumptions. This paper gives similar bounds under…