Full maximum likelihood estimation of second-order autoregressive error models

DOI10.1016/0304-4076(78)90068-4zbMath0382.62054OpenAlexW1981641627MaRDI QIDQ1247705

James G. MacKinnon, Charles M. Beach

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90068-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (3)

Information criteria in identifying regression models ⋮ Generalized least squares transformation and estimation with autoregressive error ⋮ Efficiency and Validity Analyses of Two-Stage Estimation Procedures and Derived Testing Procedures in Quantitative Linear Models with AR(1) Errors

Cites Work

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• Stationarity conditions for stochastic processes of the autoregressive and moving-average type
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• IV.—On Least Squares and Linear Combination of Observations
• On a simple transformation for second‐order autocorrelated disturbances in regression analysis
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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