Specification of the Disturbance for Efficient Estimation

DOI10.2307/1913690zbMath0284.62040OpenAlexW2044735544MaRDI QIDQ4772027

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

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

Related Items (7)

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

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