ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA

DOI10.1081/STA-100002025MaRDI QIDQ4540580zbMATH OpenOpenAlexFDO

Authors Seuck Heun Song, Götz Trenkler

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-100002025

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05)

Recommendations

• Consistency and asymptotic unbiasedness of S^ 2 in the serially correlated error components regression model for panel data
• Relative efficiency of first difference estimator in panel data regression with serially correlated error components
• Efficient estimation in panel data partially additive linear model with serially correlated errors
• A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure
• Efficient estimation of varying coefficient models with serially correlated errors
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model

Cites work

• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
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• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• A Transformation Used to Circumvent the Problem of Autocorrelation
• A general condition for an optimal limiting efficiency of OLS in the general linear regression model
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Dynamic Aspects of Earning Mobility
• Leverage and cochrane-orcutt estimation in linear regression
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• THE EFFICIENCY OF THE COCHRANE-ORCUTT PROCEDURE
• The Effect of the First Observation in Regression Models with First-Order Autoregressive Disturbances
• Useful matrix transformations for panel data analysis: a survey

Cited in

(7)

• Efficiency of the OLS estimator in the vicinity of a spatial unit root
• Leverage and cochrane-orcutt estimation in linear regression
• 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
• Consistency and asymptotic unbiasedness of S^ 2 in the serially correlated error components regression model for panel data
• A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model

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