Linear estimation of the regression model with ARMA disturbances: a simulation study

DOI10.1080/03610919708813382zbMath0925.62258OpenAlexW2007617228MaRDI QIDQ4387663

Robert D. St. Louis, Askar H. Choudhury, Simon Power

Publication date: 10 August 1998

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919708813382

zbMATH Keywords

autocorrelationapproximate generalized least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Cites Work

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• Linear identification of ARMA processes
• Linear models with correlated disturbances
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• The Fitting of Time-Series Models
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• The Effect of the First Observation in Regression Models with First-Order Autoregressive Disturbances
• A Transformation Used to Circumvent the Problem of Autocorrelation
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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