A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure

DOI10.1016/0165-1765(82)90120-3zbMATH Open1268.91140OpenAlexW2037533603MaRDI QIDQ356565FDOQ356565

L. G. Godfrey

Publication date: 26 July 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(82)90120-3

Recommendations

• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model
• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA
• On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors
• Parameter estimation in a regression model with random coefficient autoregressive errors
• An Adaptive Estimator of the Autocorrelation Coefficient in Regression Models with Autoregressive Errors
• Estimation in Random Coefficient Autoregressive Models

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• On the problem of ambiguities in maximum likelihood identification
• Lagged Endogenous Variables and the Cochrane-Orcutt Procedure

Cited In (1)

• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA

This page was built for publication: A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q356565)