Linear estimation of the regression model with ARMA disturbances: a simulation study

DOI10.1080/03610919708813382MaRDI QIDQ4387663zbMATH OpenOpenAlexFDO

Authors Askar H. Choudhury, Simon Power, Robert D. St. Louis

Publication date 10 August 1998

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919708813382

zbMATH Keywords

approximate generalized least squaresautocorrelation

Mathematics Subject Classification ID

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

Cites work

• A Transformation Used to Circumvent the Problem of Autocorrelation
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• Linear identification of ARMA processes
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Linear models with correlated disturbances
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• The Effect of the First Observation in Regression Models with First-Order Autoregressive Disturbances
• The Fitting of Time-Series Models

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