Leverage and cochrane-orcutt estimation in linear regression

DOI10.1080/03610929308831088zbMath0784.62063OpenAlexW1983663455MaRDI QIDQ4275761

Götz Trenkler, Dietmar Stemann

Publication date: 12 April 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929308831088

zbMATH Keywords

efficiencyregression modelsautocorrelationleverageCochrane-Orcutt estimatorAR(1)-errorshat matrix diagonal component

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items

ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA, Influence measures in ridge regression when the error terms follow an AR(1) process, Leverages and Influential Observations in a Regression Model with Autocorrelated Errors, Regression diagnostics methods for Liu estimator under the general linear regression model, Influence measures based on confidence ellipsoids in general linear regression model with correlated regressors, 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

Cites Work

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• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms