scientific article; zbMATH DE number 3752085

zbMATH Open0478.62089MaRDI QIDQ3936080FDOQ3936080

Authors: I. D. McAvinchey, Andrew C. Harvey 

Publication date: 1981

Title of this publication is not available (Why is that?)

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zbMATH Keywords

small sample propertiesapproximate maximum likelihood proceduretwo-step estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cited In (7)

• Estimating the autocorrelated error model with trended data
• A computationally attractive method for estimating the linear regression model with autoregressive moving average disturbances
• Some further results on the efficiency of the Cochrane-Orcutt-estimator
• Improved inference for moving average disturbances in nonlinear regression models
• Efficiency of iterative estimators in the regression model with AR(1) disturbances
• Moving average correction in a regression model
• On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances

Uses Software

• AS 154

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