ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES

DOI10.1111/J.1467-9892.1983.TB00364.XMaRDI QIDQ3672912zbMATH OpenOpenAlexFDO

Authors

Publication date 1983

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1983.tb00364.x

zbMATH Keywords

variance-covariance matrixautocorrelated disturbanceslarge sample asymptotic approximationtwo stage Prais-Winston estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Estimation in multivariate analysis (62H12)

Cites work

• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• Estimating the autocorrelated error model with trended data
• The efficiency of estimating a random coefficient model

Cited in

(9)

• Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
• Second-order least-squares estimation for regression models with autocorrelated errors
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• 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
• A note on Cochrane-Orcutt estimation
• The properties of some covariance matrix estimators in linear models with AR(1) errors
• The jackknife and regression with \(AR(1)\) errors

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