On the efficiency of the Cochrane-Orcutt estimator

DOI10.1016/0304-4076(81)90059-2zbMath0488.62093OpenAlexW1982873674MaRDI QIDQ1166224

William E. Taylor

Publication date: 1981

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90059-2

zbMATH Keywords

efficiencylinear modelleast squares estimatorsanalytic approximationsautocorrelated disturbancesCochrane-Orcutt estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances ⋮ Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations ⋮ A note on Cochrane-Orcutt estimation

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