A simple message for autocorrelation correctors: Don't

DOI10.1016/0304-4076(94)01671-LzbMath0831.62100OpenAlexW2051145133MaRDI QIDQ1899249

Grayham E. Mizon

Publication date: 6 February 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01671-l

zbMATH Keywords

common factorsfirst-order autoregressive errorsautoregressive least squares estimationcorrecting for residual autocorrelationresidual serial correlation

Mathematics Subject Classification ID

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

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