Asymptotic Covariance Matrix of Procedures for Linear Regression in the Presence of First-Order Autoregressive Disturbances

DOI10.2307/1909408MaRDI QIDQ5656262zbMATH OpenOpenAlexFDO

Authors J. Phillip Cooper

Publication date 1972

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1909408

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Cited in

(1)

• Estimation of seemingly unrelated regression with lagged dependent variables and autocorrelated errors

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