A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors

DOI10.1016/0304-4076(79)90042-3zbMath0427.62048OpenAlexW2062551249MaRDI QIDQ1136454

Corrado Corradi

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)90042-3

zbMATH Keywords

autocorrelated errorslinear convergence rateCochrane-Orcutt iterative procedurecomputation of maximum likelihood estimatesseparable non-linear least squares problems

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

A note on the exact transformation associated with the first-order moving average process ⋮ Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations

Cites Work

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• The structure of simultaneous equations estimators
• Algorithms for Separable Nonlinear Least Squares Problems
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A variable projection method for solving separable nonlinear least squares problems
• Some Special Nonlinear Least Squares Problems
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Efficient implementation of a variable projection algorithm for nonlinear least squares problems
• A Transformation Used to Circumvent the Problem of Autocorrelation
• Extensions and Applications of the Householder Algorithm for Solving Linear Least Squares Problems
• The Differentiation of Pseudo-Inverses and Nonlinear Least Squares Problems Whose Variables Separate
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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