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)00863-4MaRDI QIDQ673196zbMATH OpenWikidataFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
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• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• A note on the exact transformation associated with the first-order moving average process
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated
• Linear Least Squares Regression
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• On the minimum efficiency of least squares

Cited in

(3)

• Efficient mean estimations in a log-normal linear model with first-order correlated errors
• Moving average correction in a regression model
• Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances

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