ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES

DOI10.1111/j.1467-9892.1983.tb00364.xzbMath0522.62048OpenAlexW2065133643MaRDI QIDQ3672912

No author found.

Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00364.x

zbMATH Keywords

variance-covariance matrixautocorrelated disturbanceslarge sample asymptotic approximationtwo stage Prais-Winston estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Efficiency of iterative estimators in the regression model with AR(1) disturbances ⋮ Bias approximations for covariance parameter estimators in the linear model with ar(1) errors ⋮ The properties of some covariance matrix estimators in linear models with AR(1) errors ⋮ The jackknife and regression with \(AR(1)\) errors ⋮ Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors ⋮ Second-order least-squares estimation for regression models with autocorrelated errors ⋮ Estimation of a linear regression model with stationary ARMA (p,q) errors ⋮ A note on Cochrane-Orcutt estimation ⋮ ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES

Cites Work

• Estimating the autocorrelated error model with trended data
• The efficiency of estimating a random coefficient model
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES