Equivalent sample sizes in time series regressions

DOI10.1080/10629360600758484zbMath1136.62057OpenAlexW2033858800MaRDI QIDQ3497818

Jaechoul Lee, Robert B. Lund

Publication date: 28 May 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600758484

zbMATH Keywords

ANOVAconfidence intervalordinary least squaresautocorrelationweighted least squaresdegrees of freedom

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

Confidence intervals for long memory regressions

Cites Work

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• On Canonical Forms, Non-Negative Covariance Matrices and Best and Simple Least Squares Linear Estimators in Linear Models
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

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