A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors

DOI10.1016/0304-4076(79)90042-3zbMath0427.62048MaRDI QIDQ1136454

Corrado Corradi

Publication date: 1979

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

Full work available at URL: https://doi.org/10.1016/0304-4076(79)90042-3

zbMATH Keywords

autocorrelated errors; linear convergence rate; Cochrane-Orcutt iterative procedure; computation of maximum likelihood estimates; separable non-linear least squares problems

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

65C99: Probabilistic methods, stochastic differential equations

Related Items

A note on the exact transformation associated with the first-order moving average process, Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations

Cites Work

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