Specification of the Disturbance for Efficient Estimation

DOI10.2307/1913690zbMATH Open0284.62040OpenAlexW2044735544MaRDI QIDQ4772027FDOQ4772027

Authors: Robert F. Engle 

Publication date: 1974

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/64291

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cited In (7)

• The effects of autocorrelation among errors on the consistency property of OLS estimator
• Inference without smoothing for large panels with cross-sectional and temporal dependence
• ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Using least squares to generate forecasts in regressions with serial correlation
• Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity
• Forecasting with serially correlated regression models

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