Equivalent sample sizes in time series regressions

DOI10.1080/10629360600758484zbMath1136.62057MaRDI QIDQ3497818

Jaechoul Lee, Robert B. Lund

Publication date: 28 May 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600758484

zbMATH Keywords

ANOVA; confidence interval; ordinary least squares; autocorrelation; weighted least squares; degrees of freedom

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F25: Parametric tolerance and confidence regions

62J05: Linear regression; mixed models

62J10: Analysis of variance and covariance (ANOVA)

Related Items

Confidence intervals for long memory regressions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Bias of some commonly-used time series estimates
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• Two-Way Analysis of Variance with Correlated Errors
• The inefficiency of least squares
• On the minimum efficiency of least squares
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Introduction to Time Series and Forecasting
• Revisiting simple linear regression with autocorrelated errors
• Linear Least Squares Regression
• On Canonical Forms, Non-Negative Covariance Matrices and Best and Simple Least Squares Linear Estimators in Linear Models
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance