A Maximum Likelihood Procedure for Regression with Autocorrelated Errors

Cited in

(52)

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

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