A Maximum Likelihood Procedure for Regression with Autocorrelated Errors

Cited in

(51)

Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence
Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
Estimating the autocorrelated error model with trended data
Efficiency analysis of ten estimation procedures for quantitative linear models with autocorrelated errors
Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
Testing for ar(1) against ima(1,1) disturbances in the linear regression model
Small sample efficiency gains from a first observation correction for hatanakafs estimator of the lagged dependent variable-serial correlation regression model
Full maximum likelihood estimation of second-order autoregressive error models
Empirical likelihood estimation for linear regression models with AR(p) error terms with numerical examples
ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations
On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors
Efficient algorithms for robust estimation in autoregressive regression models using Student’stdistribution
New evidence on the small properties of estimators of SUR models with autocorrelated disturbances
Estimating parameters in autoregressive models with asymmetric innovations
Hypothesis testing in the presence of nuisance parameters
A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors
Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
On the efficiency of regression analysis with AR(p) errors
Generalized least squares transformation and estimation with autoregressive error
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
Testing for trends in correlated data
Efficient and robust estimation for autoregressive regression models using shape mixtures of skew \(t\) normal distribution
Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms
Double-length regressions for linear and log-linear regressions with AR(1) disturbances
Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
Robust parameter estimation of regression model with AR(p) error terms
Efficiency of iterative estimators in the regression model with AR(1) disturbances
Two-factor model for bond selection
Small sample performance of parameter estimators for tobit modesl with serial correlation^*
Stepwise Regression in Mixed Quantitative Linear Models with Autocorrelated Errors
A simple recursive estimation method for linear regression models with \(\text{AR}(p)\) disturbances
Regression with autoregressive errors-some asymptotic results
Efficiency and Validity Analyses of Two-Stage Estimation Procedures and Derived Testing Procedures in Quantitative Linear Models with AR(1) Errors
Parameter estimation of regression model with AR(p) error terms based on skew distributions with EM algorithm
Alternative size corrections for some GLS test statistics. The case of the AR(1) model
On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances
Leverages and influential observations in a regression model with autocorrelated errors
Estimation in a linear model with serially correlated errors when observations are missing
A note on Cochrane-Orcutt estimation
Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
Testing linear and log-linear regressions with autocorrelated errors
The properties of some covariance matrix estimators in linear models with AR(1) errors
On the reliability of quasi-t-statistics: Some Monte Carlo results
To be or not to be valid in testing the significance of the slope in simple quantitative linear models with autocorrelated errors
Full maximum likelihood estimation of dynamic demand models
The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors
The jackknife and regression with \(AR(1)\) errors
Level of aggregation, variable elasticity and Wagner's law
Local GMM estimation of time series models with conditional moment restrictions

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