Efficiency of iterative estimators in the regression model with AR(1) disturbances (Q1086946): Difference between revisions
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Revision as of 02:09, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficiency of iterative estimators in the regression model with AR(1) disturbances |
scientific article |
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Efficiency of iterative estimators in the regression model with AR(1) disturbances (English)
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1985
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The mean square error approximation method of \textit{A. L. Nagar} [Econometrica 27, 575-595 (1959; Zbl 0091.152)] is applied to the iterated Prais-Winsten [\textit{S. J. Prais} and \textit{C. B. Winsten}, Trend estimators and serial correlation. Unpublished Cowles Commission discussion paper (1954)] and (iterated) maximum likelihood estimators of regression coefficients in the model with AR(1) disturbances. Their mean square errors are found to equal that of the two-stage Prais-Winsten estimator at the second-order level of approximation.
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first order autoregressive disturbances
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mean square error approximation method
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maximum likelihood estimators
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regression coefficients
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two-stage Prais-Winsten estimator
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