The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process

DOI10.1016/S0165-1765(96)00863-4zbMATH Open0900.90188WikidataQ126553961 ScholiaQ126553961MaRDI QIDQ673196FDOQ673196

Roland Jeske, Thomas Bütefisch, Seuck Heun Song

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Efficiency of OLSGreatest lower boundMA(1) disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
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• On the minimum efficiency of least squares
• Linear Least Squares Regression
• A note on the exact transformation associated with the first-order moving average process
• Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Note on Estimating Linear Trend when Residuals are Autocorrelated

Cited In (1)

• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances

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