Estimation in a Linear Model with Serially Correlated Errors When Observations are Missing
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Publication:3707198
DOI10.2307/2526596zbMath0584.62146MaRDI QIDQ3707198
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
efficiency; linear model; missing observations; OLS; finite samples; ML estimation; two-stage estimators; ordinary least squares estimators; serially correlated errors; stationary normal AR(1) process
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
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