A simple recursive estimation method for linear regression models with \(\text{AR}(p)\) disturbances

DOI10.1007/BF02926403zbMath0825.62692OpenAlexW2033016451MaRDI QIDQ1342788

Badi H. Baltagi, Q. Li

Publication date: 28 November 1995

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02926403

zbMATH Keywords

serial correlationautoregressive processautocorrelation transformation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Consistency of recursive nonparametric Kernel estimates for independent functional data

Cites Work

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• Estimating the autocorrelated error model with trended data
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process

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