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

DOI10.1016/0165-1765(82)90120-3MaRDI QIDQ356565zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

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

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• Estimation in Random Coefficient Autoregressive Models

Cites work

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

Cited in

(1)

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

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