Estimation in a Linear Model with Serially Correlated Errors When Observations are Missing

DOI10.2307/2526596zbMath0584.62146OpenAlexW2010763123MaRDI QIDQ3707198

Tom Wansbeek, Arie Kapteyn

Publication date: 1985

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/ws/files/1137209/WTKA5621230.pdf

zbMATH Keywords

efficiencylinear modelmissing observationsOLSfinite samplesML estimationtwo-stage estimatorsordinary least squares estimatorsserially correlated errorsstationary normal AR(1) process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (2)

Estimation in a linear model with serially correlated errors when observations are missing ⋮ Detection of influential observations in regression model with autocorrelated errors

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