Omitted variables, variability of estimated parameters and the appearance of autocorrelated disturbances

DOI10.1016/0304-4076(79)90080-0zbMath0416.62064OpenAlexW2083826431MaRDI QIDQ754585

Yash Pal Gupta, Esfandiar Maasoumi

Publication date: 1979

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(79)90080-0

zbMATH Keywords

underestimationordinary least squaresomitted variablesregression coefficientsautocorrelated disturbancesestimated variance matrixestimator reliabilitymean square errors matrixspecification analysisstandard regression model

Mathematics Subject Classification ID

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

Cites Work

• Autocorrelated disturbances in the light of specification analysis
• Specification Errors and the Estimation of Economic Relationships
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
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