Some further results on the efficiency of the Cochrane-Orcutt-estimator

DOI10.1016/S0378-3758(00)00079-3zbMATH Open0951.62057OpenAlexW2057865829MaRDI QIDQ1579997FDOQ1579997

Authors: Dietmar Stemann, Götz Trenkler 

Publication date: 3 January 2001

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

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00079-3

Recommendations

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• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
• scientific article; zbMATH DE number 3752085

zbMATH Keywords

efficiencyautoregressive processgeneralized least squaresCochrane-Orcutt-estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• Title not available (Why is that?)
• Leverage and cochrane-orcutt estimation in linear regression
• Estimating the autocorrelated error model with trended data
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• A Transformation Used to Circumvent the Problem of Autocorrelation
• THE EFFICIENCY OF THE COCHRANE-ORCUTT PROCEDURE

Cited In (6)

• Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations
• Efficiency of the OLS estimator in the vicinity of a spatial unit root
• Leverage and cochrane-orcutt estimation in linear regression
• THE EFFICIENCY OF THE COCHRANE-ORCUTT PROCEDURE
• Title not available (Why is that?)
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model

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