Efficiency of iterative estimators in the regression model with AR(1) disturbances (Q1086946)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 3986436
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Efficiency of iterative estimators in the regression model with AR(1) disturbances |
scientific article; zbMATH DE number 3986436 |
Statements
Efficiency of iterative estimators in the regression model with AR(1) disturbances (English)
0 references
1985
0 references
The mean square error approximation method of \textit{A. L. Nagar} [Econometrica 27, 575-595 (1959; Zbl 0091.152)] is applied to the iterated Prais-Winsten [\textit{S. J. Prais} and \textit{C. B. Winsten}, Trend estimators and serial correlation. Unpublished Cowles Commission discussion paper (1954)] and (iterated) maximum likelihood estimators of regression coefficients in the model with AR(1) disturbances. Their mean square errors are found to equal that of the two-stage Prais-Winsten estimator at the second-order level of approximation.
0 references
first order autoregressive disturbances
0 references
mean square error approximation method
0 references
maximum likelihood estimators
0 references
regression coefficients
0 references
two-stage Prais-Winsten estimator
0 references
0 references
0.7952014207839966
0 references
0.7723572850227356
0 references
0.7624152302742004
0 references
