Second-order least-squares estimation for regression models with autocorrelated errors

DOI10.1007/s00180-013-0470-1zbMath1306.65127OpenAlexW2010334389MaRDI QIDQ2259763

M. Shelton Peiris, Dedi Rosadi

Publication date: 5 March 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-013-0470-1

zbMATH Keywords

consistencyasymptotic normalityregression modelautocorrelated errorsordinary least squaregeneralized least squaresecond-order least square

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (5)

Likelihood-based quantile autoregressive distributed lag models and its applications ⋮ Robust second-order least-squares estimation for regression models with autoregressive errors ⋮ Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors ⋮ Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation ⋮ Quantile regression for linear models with autoregressive errors using EM algorithm

Cites Work

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• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
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