A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model

DOI10.1016/0304-4076(87)90008-XzbMath0628.62108OpenAlexW2059667723MaRDI QIDQ1093300

Daniel L. Thornton

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0304-4076(87)90008-x

zbMATH Keywords

AR(1) regression modelCochrane-Orcutt transformationknown autocorrelationPrais- Winsten transformationweighted generalized least squares estimator

Mathematics Subject Classification ID

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

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