Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated

DOI10.2307/1912350zbMath0392.62075OpenAlexW2015661308MaRDI QIDQ4174130

John S. Chipman

Publication date: 1979

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912350

zbMATH Keywords

EfficiencyAuto Correlated ResidualsCochrane-Orcutt EstimatorFirst-Order Stationary Markoff ProcessLeast-Squares Estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (17)

Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated ⋮ Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances ⋮ A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model ⋮ Efficiency of least squares estimators in the presence of spatial autocorrelation ⋮ Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data ⋮ A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors ⋮ Equivalent sample sizes in time series regressions ⋮ The effects of autocorrelation among errors on the consistency property of OLS estimator ⋮ The frisch-waugh theorem and generalized least squares ⋮ A general condition for an optimal limiting efficiency of OLS in the general linear regression model ⋮ The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process ⋮ Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations ⋮ Second-order least-squares estimation for regression models with autocorrelated errors ⋮ A NOTE ON ESTIMATING LINEAR TREND IN A REGRESSION MODEL WITH SERIALLY CORRELATED ERROR COMPONENTS ⋮ Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated ⋮ Some further results on the efficiency of the Cochrane-Orcutt-estimator ⋮ On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances

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