The properties of some covariance matrix estimators in linear models with AR(1) errors

DOI10.1016/0165-1765(84)90010-7MaRDI QIDQ374917zbMATH OpenOpenAlexFDO

Authors Shigetaka Miyazaki, William Griffiths

Publication date 24 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(84)90010-7

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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Cites work

• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Estimating the autocorrelated error model with trended data
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• Specification of the Disturbance for Efficient Estimation--An Extended Analysis

Cited in

(11)

• Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
• Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
• On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors
• Edgeworth-adjusting test statistics for ar(1) errors
• scientific article; zbMATH DE number 7267176 (Why is no real title available?)
• scientific article; zbMATH DE number 2190880 (Why is no real title available?)
• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• The jackknife and regression with \(AR(1)\) errors
• Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
• Least absolute error estimation in the presence of serial correlation

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