Full maximum likelihood estimation of second-order autoregressive error models

DOI10.1016/0304-4076(78)90068-4zbMath0382.62054MaRDI QIDQ1247705

James G. MacKinnon, Charles M. Beach

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90068-4

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

Related Items

Efficiency and Validity Analyses of Two-Stage Estimation Procedures and Derived Testing Procedures in Quantitative Linear Models with AR(1) Errors, Information criteria in identifying regression models, Generalized least squares transformation and estimation with autoregressive error

Cites Work

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• On a simple transformation for second‐order autocorrelated disturbances in regression analysis
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms