Generalized minimum distance estimators of a linear model with correlated errors.
In \(R^p\) a linear regression model of the type \(Y=X\theta+\varepsilon\) is considered, where X is the design matrix, Y the vector of the response variable and \(\varepsilon\) the random error vector that follows an AR(1) correlation structure. Estimators are asymptotically analyzed, by proving their strong consistency, asymptotic normality and asymptotic efficiency. In a simulation study, a better behaviour of the mean squared errors of the proposed estimators with respect to that of the generalized least squares estimators is observed
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