The properties of some covariance matrix estimators in linear models with AR(1) errors

DOI10.1016/0165-1765(84)90010-7zbMath1273.62162OpenAlexW1974649114MaRDI QIDQ374917

Shigetaka Miyazaki, William E. Griffiths

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(84)90010-7

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items

On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors, Edgeworth-adjusting test statistics for 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, Least absolute error estimation in the presence of serial correlation, Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes, Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves, Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

Cites Work

• Estimating the autocorrelated error model with trended data
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• Specification of the Disturbance for Efficient Estimation--An Extended Analysis
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors