Generalized least squares with misspecified serial correlation structures

DOI10.1111/1467-9868.00296MaRDI QIDQ2767528zbMATHOpenAlexFDO

Authors Sergio G. Koreisha, Yue Fang

Publication date 2 July 2002

Published in Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9868.00296

zbMATH Keywords

serial correlationsimulation studyrelative efficiencyestimated generalized least squaresautoregressive disturbancesincorrect generalized least squares

Mathematics Subject Classification ID

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

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(21)

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• Generalized least squares estimation of simultaneous equations model with first order autocorrelated errors
• Covariance miss-specification and the local influence approach in sensitivity analyses of longitudinal data with drop-outs
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• APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001
• Efficiency analysis of ten estimation procedures for quantitative linear models with autocorrelated errors
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• scientific article; zbMATH DE number 926553 (Why is no real title available?)
• Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
• On partial-sum processes of ARMAX residuals
• Variable screening for high dimensional time series
• Analysis of Serially Correlated Data Using Quasi-Least Squares
• Choices between OLS with robust inference and feasible GLS in time series regressions
• Comparison of the efficiency of least squares estimators in regression models for longitudinal data by simulations
• Indices for covariance mis-specification in longitudinal data analysis with no missing responses and with MAR drop-outs
• Difference in difference meets generalized least squares: higher order properties of hypotheses tests
• Using least squares to generate forecasts in regressions with serial correlation

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