Small sample efficiency gains from a first observation correction for hatanakafs estimator of the lagged dependent variable-serial correlation regression model

DOI10.1080/03610918708812604zbMath0657.62129OpenAlexW2082885581MaRDI QIDQ3805717

Thomas B. Fomby

Publication date: 1987

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918708812604

zbMATH Keywords

maximum likelihood estimationGauss-Newton estimationfeasible generalized least squares estimationfirst observation correctionlagged dependent variable-serial correlation regression model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Point estimation (62F10)

Cites Work

• Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Generalized Least Squares with an Estimated Variance Covariance Matrix
• The Efficiency of the Two-Step Estimator
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