A note on a Bayesian estimator in an autocorrelated error model

DOI10.1016/0304-4076(80)90064-0MaRDI QIDQ1140943zbMATH OpenOpenAlexFDO

Authors S. H. Smith

Publication date 1980

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

Full work available at URL https://doi.org/10.1016/0304-4076(80)90064-0

zbMATH Keywords

autocorrelated error modelBayesian estimatorsDurbin-Watson testgeneralized least squares estimatorpre-test estimators

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
• On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative

Cited in

(4)

• The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches
• Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations
• Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk
• Pitman Closeness in Classes of General Pre-Test Estimators and Regression Estimators

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