A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors
From MaRDI portal
Publication:1136454
DOI10.1016/0304-4076(79)90042-3zbMath0427.62048OpenAlexW2062551249MaRDI QIDQ1136454
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
autocorrelated errorslinear convergence rateCochrane-Orcutt iterative procedurecomputation of maximum likelihood estimatesseparable non-linear least squares problems
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
- Unnamed Item
- 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
This page was built for publication: A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors