Estimating the autocorrelated error model with trended data

DOI10.1016/0304-4076(80)90014-7MaRDI QIDQ1138871zbMATH OpenOpenAlexFDO

Authors Rolla Edward Park, Bridger M. Mitchell

Publication date 1980

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

Full work available at URL https://doi.org/10.1016/0304-4076(80)90014-7

zbMATH Keywords

comparison of estimation efficiencyfirst-order autocorrelated errorsfull maximum likelihood estimatoriterated Prais-Winsten estimatorlinear regression modelordinary least squaressmall sample properties of estimatorstrended data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• scientific article; zbMATH DE number 3752085 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• New evidence on the small properties of estimators of SUR models with autocorrelated disturbances
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• The Fitting of Time-Series Models

Cited in

(43)

• On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model
• On the efficiency of the Cochrane-Orcutt estimator
• Resampling methods for tests in regression models with autocorrelated errors
• Testing for trends in correlated data
• A simple recursive estimation method for linear regression models with \(\text{AR}(p)\) disturbances
• Testing linear regression models using non-parametric regression estimators when errors are non-independent
• Optimum influence of initial observations in regression models with AR(2) errors
• Some further results on the efficiency of the Cochrane-Orcutt-estimator
• Moving frontier analysis: An application of data envelopment analysis for competitive analysis of a high-technology manufacturing plant
• Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
• Hypothesis testing in the presence of nuisance parameters
• GLS detrending and unit root testing
• On the sensitivity of the usual t- and F-tests to covariance misspecification
• On the end-point issue in unit root tests in the presence of a structural break.
• Efficiency analysis of ten estimation procedures for quantitative linear models with autocorrelated errors
• On size and power of heteroskedasticity and autocorrelation robust tests
• scientific article; zbMATH DE number 4199392 (Why is no real title available?)
• Stepwise Regression in Mixed Quantitative Linear Models with Autocorrelated Errors
• On the efficiency of regression analysis with AR(p) errors
• Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
• Goodness-of-Fit Testing for Exponential Polynomial Growth Curves
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• The properties of some covariance matrix estimators in linear models with AR(1) errors
• The effects of autocorrelation among errors on the consistency property of OLS estimator
• Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations
• On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors
• Edgeworth-adjusting test statistics for ar(1) errors
• Efficiency and Validity Analyses of Two-Stage Estimation Procedures and Derived Testing Procedures in Quantitative Linear Models with AR(1) Errors
• A NOTE ON ESTIMATING LINEAR TREND IN A REGRESSION MODEL WITH SERIALLY CORRELATED ERROR COMPONENTS
• Properties of bootstrap tests for N‐of‐1 studies
• Estimating autocorrelations in the presence of deterministic trends
• Testing for monotonic trend in time series based on resampling methods
• Infant mortality rates: time trends and fractional integration
• scientific article; zbMATH DE number 7280208 (Why is no real title available?)
• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• On the reliability of quasi-t-statistics: Some Monte Carlo results
• The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors
• The jackknife and regression with \(AR(1)\) errors
• Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
• Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence

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