A simple message for autocorrelation correctors: Don't

DOI10.1016/0304-4076(94)01671-LzbMATH Open0831.62100OpenAlexW2051145133MaRDI QIDQ1899249FDOQ1899249

Authors: Grayham E. Mizon 

Publication date: 6 February 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01671-l

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zbMATH Keywords

common factorsfirst-order autoregressive errorsautoregressive least squares estimationcorrecting for residual autocorrelationresidual serial correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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• Some Tests of Dynamic Specification for a Single Equation
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

Cited In (10)

• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Estimating autocorrelations in the presence of deterministic trends
• A unifying framework for analysing common cyclical features in cointegrated time series
• Typologies of linear dynamic systems and models
• Testing the currency-substitution model under the German hyperinflation
• Title not available (Why is that?)
• Title not available (Why is that?)
• A simple solution for spurious regressions
• Full maximum likelihood estimation of dynamic demand models
• Autocorrelation problem in the linear regression models with indicator variables

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