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

DOI10.1016/S0378-3758(00)00079-3MaRDI QIDQ1579997zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• THE EFFICIENCY OF THE COCHRANE-ORCUTT PROCEDURE
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model
• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA
• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
• scientific article; zbMATH DE number 3752085

Cites work

• scientific article; zbMATH DE number 3604250 (Why is no real title available?)
• A Transformation Used to Circumvent the Problem of Autocorrelation
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Estimating the autocorrelated error model with trended data
• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
• Leverage and cochrane-orcutt estimation in linear regression
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• 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
• scientific article; zbMATH DE number 3752085 (Why is no real title available?)
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model

This page was built for publication: Some further results on the efficiency of the Cochrane-Orcutt-estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1579997)