Full maximum likelihood estimation of second-order autoregressive error models

DOI10.1016/0304-4076(78)90068-4MaRDI QIDQ1247705zbMATH OpenOpenAlexFDO

Authors Charles M. Beach, James G. Mackinnon

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

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

Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3487169 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• IV.—On Least Squares and Linear Combination of Observations
• On a simple transformation for second‐order autocorrelated disturbances in regression analysis
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• Stationarity conditions for stochastic processes of the autoregressive and moving-average type

Cited in

(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

This page was built for publication: Full maximum likelihood estimation of second-order autoregressive error models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1247705)