Note on Estimating Linear Trend when Residuals are Autocorrelated

DOI10.2307/1912777MaRDI QIDQ4742174zbMATH OpenOpenAlexFDO

Authors Walter Krämer

Publication date 1982

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912777

zbMATH Keywords

autocorrelated error termsestimating linear trendrelative efficiencies of estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(12)

• Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
• Relative efficiency of first difference estimator in panel data regression with serially correlated error components
• Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated
• Some further results on the efficiency of the Cochrane-Orcutt-estimator
• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
• The effects of autocorrelation among errors on the consistency property of OLS estimator
• Leverage and cochrane-orcutt estimation in linear regression
• The frisch-waugh theorem and generalized least squares
• A NOTE ON ESTIMATING LINEAR TREND IN A REGRESSION MODEL WITH SERIALLY CORRELATED ERROR COMPONENTS
• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA
• A general condition for an optimal limiting efficiency of OLS in the general linear regression model
• The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process

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