Lagged Endogenous Variables and the Cochrane-Orcutt Procedure

DOI10.2307/1912518zbMath0467.62099OpenAlexW2003645033MaRDI QIDQ3920524

Roger R. Betancourt, Harry H. Kelejian

Publication date: 1981

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912518

zbMATH Keywords

inconsistencylagged endogenous variablesCochrane-Orcutt procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (2)

Multiple optima and asymptotic approximations in the partial adjustment model ⋮ A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure

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