A note on Cochrane-Orcutt estimation

DOI10.1016/0304-4076(87)90024-8zbMath0617.62071OpenAlexW1985186744MaRDI QIDQ1822177

Lonnie Magee

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0304-4076(87)90024-8

zbMATH Keywords

generalized least squares estimatorCO transformationCochrane-Orcutt estimationlinear regression model with first-order autoregressive disturbancestrue autocorrelation coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (3)

Robust minimum distance estimation of a linear regression model with correlated errors in the presence of outliers ⋮ Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations ⋮ A robust estimation method for the linear regression model parameters with correlated error terms and outliers

Cites Work

• On the efficiency of the Cochrane-Orcutt estimator
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• The Power of the Durbin-Watson Test
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• A Transformation Used to Circumvent the Problem of Autocorrelation
• On Canonical Forms, Non-Negative Covariance Matrices and Best and Simple Least Squares Linear Estimators in Linear Models
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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