Generalized least squares transformation and estimation with autoregressive error

DOI10.1016/J.SPL.2007.07.025MaRDI QIDQ2479334zbMATH OpenOpenAlexFDO

Authors Dimitrios V. Vougas

Publication date 26 March 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.07.025

zbMATH Keywords

LR testGaussian AR modelGLS transformationNLS and QML estimation

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3401978 (Why is no real title available?)
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• A Transformation Used to Circumvent the Problem of Autocorrelation
• An Example of Autocorrelated Disturbances in Linear Regression
• Estimation When a Parameter is on a Boundary
• Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
• Full maximum likelihood estimation of second-order autoregressive error models
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

Cited in

(7)

• Generalized and feasible generalized median estimators for the linear regression with \(AR(1)\) error model
• On the estimation of an autoregressive parameter on the basis of the generalized method of least squares
• A transformation for heteroscedastic error components regression models
• Untransformed first observation problem in regression model with moving average process
• An efficient generalized least squares algorithm for periodic trended regression with autoregressive errors
• Generalized least squares transformation with the second-order autoregressive error
• Useful matrix transformations for panel data analysis: a survey

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