Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors

DOI10.1016/0165-1765(89)90265-6zbMath1328.62123OpenAlexW2026004182MaRDI QIDQ902630

Noriko Hashimoto

Publication date: 1 January 2016

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

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90265-6

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Statistical methods; economic indices and measures (91B82)

Related Items (2)

On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors ⋮ Resampling methods for tests in regression models with autocorrelated errors

Cites Work

• The properties of some covariance matrix estimators in linear models with AR(1) errors
• The jackknife and regression with \(AR(1)\) errors
• Estimating the autocorrelated error model with trended data
• ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Comparison of k-Class Estimators When the Disturbances Are Small
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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