A note on an efficient two-step estimator

DOI10.1016/0304-4076(74)90007-4zbMath0315.62047OpenAlexW1976155738MaRDI QIDQ1221466

Phoebus J. Dhrymes

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1016/0304-4076(74)90007-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic analysis (60H99)

Related Items (2)

Unnamed Item ⋮ Testing for autocorrelation in the presence of lagged dependent variables

Cites Work

• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• Efficient Estimation of Distributed Lags with Autocorrelated Errors

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