A Transformation Used to Circumvent the Problem of Autocorrelation
From MaRDI portal
Publication:5554765
DOI10.2307/1909605zbMath0167.47304OpenAlexW2312633399MaRDI QIDQ5554765
Publication date: 1968
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1909605
Related Items
Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances ⋮ A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model ⋮ ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA ⋮ Optimum influence of initial observations in regression models with \(AR(2)\) errors ⋮ A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors ⋮ The effects of autocorrelation among errors on the consistency property of OLS estimator ⋮ Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations ⋮ Linear estimation of the regression model with ARMA disturbances: a simulation study ⋮ Generalized least squares transformation and estimation with autoregressive error ⋮ Autocorrelated disturbances in the light of specification analysis ⋮ Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix ⋮ A NOTE ON ESTIMATING LINEAR TREND IN A REGRESSION MODEL WITH SERIALLY CORRELATED ERROR COMPONENTS ⋮ A note on Cochrane-Orcutt estimation ⋮ 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 ⋮ On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances