A note on Cochrane-Orcutt estimation (Q1822177)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on Cochrane-Orcutt estimation |
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A note on Cochrane-Orcutt estimation (English)
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1987
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It is shown that the true autocorrelation coefficient, were it known, can be a very poor choice of transformation parameter in Cochrane-Orcutt estimation.
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CO transformation
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linear regression model with first-order autoregressive disturbances
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generalized least squares estimator
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true autocorrelation coefficient
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Cochrane-Orcutt estimation
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