Efficiency of iterative estimators in the regression model with AR(1) disturbances

DOI10.1016/0304-4076(85)90156-3zbMath0609.62083OpenAlexW2051291847MaRDI QIDQ1086946

Lonnie Magee

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90156-3

zbMATH Keywords

maximum likelihood estimatorsregression coefficientsfirst order autoregressive disturbancesmean square error approximation methodtwo-stage Prais-Winsten estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (5)

Alternative size corrections for some GLS test statistics. The case of the \(AR(1)\) model ⋮ Bias approximations for covariance parameter estimators in the linear model with ar(1) errors ⋮ Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors ⋮ Expectation of quadratic forms in normal and nonnormal variables with applications ⋮ Estimation of a linear regression model with stationary ARMA (p,q) errors

Cites Work

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• Approximate Normality of Generalized Least Squares Estimates
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators

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