Estimating the autocorrelated error model with trended data
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Publication:1138871
DOI10.1016/0304-4076(80)90014-7zbMath0432.62061OpenAlexW2053258875MaRDI QIDQ1138871
Bridger M. Mitchell, Rolla Edward Park
Publication date: 1980
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(80)90014-7
ordinary least squareslinear regression modelcomparison of estimation efficiencyfirst-order autocorrelated errorsfull maximum likelihood estimatoriterated Prais-Winsten estimatorsmall sample properties of estimatorstrended data
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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- Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
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