Large sample inference for a multivariate linear model with autocorrelated errors

DOI10.1016/0378-3758(94)90163-5zbMath0798.62035OpenAlexW2055948691MaRDI QIDQ1333102

Sankara N. Sethuraman, Ishwar V. Basawa

Publication date: 8 November 1994

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90163-5

zbMATH Keywords

asymptotic testsautoregressive processeslimit distributionsmultivariate linear modelleast-squares estimatorsautocorrelated errorsmean vectorerror covariance matrixlarge sample testsgrowth curvestime-trend parameterwithin-group variation parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Statistical inference in a panel data semiparametric regression model with serially correlated errors

Cites Work

• Large-sample tests of homogeneity for time series models
• Large-sample inference for a regression model with autocorrelated errors
• EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Statistics for Modern Business Decisions (2nd ed.).
• The Lindeberg-Levy Theorem for Martingales
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Large sample inference for a multivariate linear model with autocorrelated errors