Second-order risk comparison of SLSE with GLSE and MLE in a regression with serial correlation

DOI10.1016/0047-259X(85)90074-0zbMath0573.62027MaRDI QIDQ1062705

Yasuyuki Toyooka

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

linear modelserial correlationMLEmaximum likelihood estimateautoregressive processsecond order expansionGLSEestimated residualssecond order biasgeneralised least squares estimateordinary least squares residualsrisk matrixSLSE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

Second order optimality for estimators in time series regression models

Cites Work

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• Pseudo maximum likelihood estimation: Theory and applications
• Second-order expansion of mean squared error matrix of generalized least squares estimator with estimated parameters
• Prediction error in a linear model with estimated parameters
• Asymptotic Distribution of Maximum Likelihood Estimators in a Linear Model With Autoregressive Disturbances
• Conditions for Optimality and Validity of Simple Least Squares Theory
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

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