Bias approximations for covariance parameter estimators in the linear model with ar(1) errors

DOI10.1080/03610928908829907zbMATH Open0696.62288OpenAlexW2048815658MaRDI QIDQ3474072FDOQ3474072

Authors: Lonnie Magee 

Publication date: 1989

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928908829907

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• Publication:4935440
• scientific article; zbMATH DE number 2060186

zbMATH Keywords

variance estimationlinear regression modelsecond-order biasautocorrelation coefficient estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Cites Work

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• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Approximate Normality of Generalized Least Squares Estimates
• Estimators of the disturbance variance in econometric models. Small- sample bias and the existence of moments
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• Edgeworth approximations in first-order stochastic difference equations with exogenous variables
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• Specification of the Disturbance for Efficient Estimation--An Extended Analysis
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Bias of some commonly-used time series estimates
• Efficiency of iterative estimators in the regression model with AR(1) disturbances
• An Approximation to the Distribution of the Least Square Estimator in an Autoregressive Model with Exogenous Variables
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Cited In (9)

• Bias-adjusted estimation in the ARX(1) model
• Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
• Title not available (Why is that?)
• Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
• Efficiency of iterative estimators in the regression model with AR(1) disturbances
• Bias correction in ARMA models
• The properties of some covariance matrix estimators in linear models with AR(1) errors
• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.
• Title not available (Why is that?)

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