Specification of the Disturbance for Efficient Estimation--An Extended Analysis

DOI10.2307/1913297MaRDI QIDQ4127804zbMATH OpenOpenAlexFDO

Authors D. F. Nicholls, Adrian Pagan

Publication date 1977

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913297

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited in

(7)

• The exact distribution of R^ 2 when the regression disturbances are autocorrelated
• Estimation of a non-invertible moving average process: the case of overdifferencing
• Inference without smoothing for large panels with cross-sectional and temporal dependence
• Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
• The properties of some covariance matrix estimators in linear models with AR(1) errors
• The effects of autocorrelation among errors on the consistency property of OLS estimator
• Untransformed first observation problem in regression model with moving average process

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