Some further results on the efficiency of the Cochrane-Orcutt-estimator

DOI10.1016/S0378-3758(00)00079-3zbMath0951.62057OpenAlexW2057865829MaRDI QIDQ1579997

Götz Trenkler, Dietmar Stemann

Publication date: 3 January 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00079-3

zbMATH Keywords

efficiencygeneralized least squaresautoregressive processCochrane-Orcutt-estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (1)

Efficiency of the OLS estimator in the vicinity of a spatial unit root

Cites Work

• Unnamed Item
• Estimating the autocorrelated error model with trended data
• THE EFFICIENCY OF THE COCHRANE-ORCUTT PROCEDURE
• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Leverage and cochrane-orcutt estimation in linear regression
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• A Transformation Used to Circumvent the Problem of Autocorrelation
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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