Generalized Least Squares with Misspecified Serial Correlation Structures

DOI10.1111/1467-9868.00296zbMath0989.62048OpenAlexW2088875938MaRDI QIDQ2767528

Yue Fang, Sergio G. Koreisha

Publication date: 2 July 2002

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00296

zbMATH Keywords

serial correlationsimulation studyrelative efficiencyestimated generalized least squaresautoregressive disturbancesincorrect generalized least squares

Mathematics Subject Classification ID

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

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