Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
From MaRDI portal
Publication:3908361
DOI10.2307/2287196zbMath0458.62080OpenAlexW4251248442MaRDI QIDQ3908361
Publication date: 1980
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2287196
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)
Related Items (18)
Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated ⋮ Efficiency of least squares estimators in the presence of spatial autocorrelation ⋮ Leverage and cochrane-orcutt estimation in linear regression ⋮ The effects of autocorrelation among errors on the consistency property of OLS estimator ⋮ Efficiency comparisons between the OLSE and the BLUE in a singular linear model ⋮ Finite sample performance of linear least squares estimation ⋮ A general condition for an optimal limiting efficiency of OLS in the general linear regression model ⋮ Second-order least-squares estimation for regression models with autocorrelated errors ⋮ Efficiency of the OLS estimator in the vicinity of a spatial unit root ⋮ Finite sample efficiency of OLS in linear regression models with long-memory disturbances ⋮ On the performance of the ordinary least squares method under an error component model. ⋮ Estimation of a linear regression model with stationary ARMA (p,q) errors ⋮ Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated ⋮ Relative efficiency of first difference estimator in panel data regression with serially correlated error components ⋮ Some further results on the efficiency of the Cochrane-Orcutt-estimator ⋮ Indirect estimation of (latent) linear models with ordinal regressors. A Monte Carlo study and some empirical illustrations ⋮ The power of the Durbin-Watson test for regressions without an intercept ⋮ Characteristic values and triangular factorization of the covariance matrix for multinomial, dirichlet and multivariate hypergeometric distributions and some related results
This page was built for publication: Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
