scientific article; zbMATH DE number 3752085

MaRDI QIDQ3936080zbMATH OpenFDO

Authors I. D. McAvinchey, Andrew C. Harvey

Publication date 1981

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)

Recommendations

• Some further results on the efficiency of the Cochrane-Orcutt-estimator
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• A computationally attractive method for estimating the linear regression model with autoregressive moving average disturbances
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model
• Estimation of a linear regression model with stationary ARMA (p,q) errors

Cited in

(7)

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

Describes a project that uses

Uses Software

• AS 154

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