Note on Estimating Linear Trend when Residuals are Autocorrelated

DOI10.2307/1912777zbMath0505.62055OpenAlexW2071515723MaRDI QIDQ4742174

Walter Kramer

Publication date: 1982

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912777

zbMATH Keywords

autocorrelated error termsestimating linear trendrelative efficiencies of estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (12)

Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated ⋮ Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances ⋮ ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA ⋮ Leverage and cochrane-orcutt estimation in linear regression ⋮ The effects of autocorrelation among errors on the consistency property of OLS estimator ⋮ The frisch-waugh theorem and generalized least squares ⋮ A general condition for an optimal limiting efficiency of OLS in the general linear regression model ⋮ The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process ⋮ A NOTE ON ESTIMATING LINEAR TREND IN A REGRESSION MODEL WITH SERIALLY CORRELATED ERROR COMPONENTS ⋮ 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

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