Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations

DOI10.1007/BF02924319zbMath0677.62088OpenAlexW2051592580MaRDI QIDQ3833469

Roger C. Pfaffenberger, Terry E. Dielman

Publication date: 1989

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02924319

zbMATH Keywords

simulation resultsreviewtime series regressionBayesian estimatorCochrane-Orcutt estimatorfirst-order autocorrelated disturbancesfull maximum likelihooditerative Prais-Winsten estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations

Cites Work

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