Revisiting simple linear regression with autocorrelated errors

DOI10.1093/BIOMET/91.1.240zbMATH Open1132.62346OpenAlexW2059734416MaRDI QIDQ5456567FDOQ5456567

Jaechoul Lee, Robert Lund

Publication date: 8 April 2008

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/91.1.240

zbMATH Keywords

time seriesordinary least squaressimple linear regressiongeneralised least squares

Mathematics Subject Classification ID

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

Cited In (15)

• A seasonal analysis of riverflow trends
• Revisit of Sheppard corrections in linear regression
• A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors
• Likelihood-based quantile autoregressive distributed lag models and its applications
• Simple linear regression with multiple level shifts
• Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
• Equivalent sample sizes in time series regressions
• A likelihood for correlated extreme series
• A data-driven approach to detecting change points in linear regression models
• Quantile regression for linear models with autoregressive errors using EM algorithm
• Spatiotemporal event studies for environmental data under cross-sectional dependence: an application to air quality assessment in Lombardy
• Title not available (Why is that?)
• Confidence intervals for long memory regressions
• Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation
• Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors

   Recommendations

• On the consistency property of OLS variance estimator when errors are autocorrelated 👍 👎
• The effects of autocorrelation among errors on the consistency property of OLS variance estimator 👍 👎
• Regression with autoregressive errors-some asymptotic results 👍 👎
• A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors 👍 👎
• On the efficiency of regression analysis with AR(p) errors 👍 👎

This page was built for publication: Revisiting simple linear regression with autocorrelated errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5456567)