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

DOI10.2307/1912350zbMATH Open0392.62075OpenAlexW2015661308MaRDI QIDQ4174130FDOQ4174130

Authors: 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

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

Cited In (18)

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

This page was built for publication: Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4174130)