A note on a Bayesian estimator in an autocorrelated error model

DOI10.1016/0304-4076(80)90064-0zbMath0436.62035OpenAlexW2054766528MaRDI QIDQ1140943

S. H. Smith

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)90064-0

zbMATH Keywords

generalized least squares estimatorBayesian estimatorspre-test estimatorsDurbin-Watson testautocorrelated error model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items

The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches, Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk, Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations, Pitman Closeness in Classes of General Pre-Test Estimators and Regression Estimators

Cites Work

• On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative
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