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Taylor, William E.

On the efficiency of the Cochrane-Orcutt estimator. (English) Zbl 0488.62093

J. Econom. 17, 67-82 (1981).
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Cited in 3 Documents

MSC:

62P20 Applications of statistics to economics
62J05 Linear regression; mixed models

Keywords:

efficiency; Cochrane-Orcutt estimator; analytic approximations; linear model; autocorrelated disturbances; least squares estimators
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Full Text: DOI

References:

[1] Granger, C. W.J., The typical shape of an economic variable, Econometrica, 34, 150-161 (1966)
[2] Hendry, D. F., The structure of simultaneous equations estimators, Journal of Econometrics, 4, 51-88 (1976) · Zbl 0323.62076
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[4] Johnston, J., Econometric methods (1972), McGraw-Hill: McGraw-Hill New York
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[6] Maeshiro, A., Autoregressive transformation, trended independent variables, and autocorrelated disturbance terms, Review of Economics and Statistics, 58, 497-500 (1976)
[7] Maeshiro, A., On the retention of the first observations in serial correlation adjustments of regression models, International Economic Review, 20, 259-265 (1979) · Zbl 0416.62080
[8] Malinvaud, E., Statistical methods of econometrics (1970), North-Holland: North-Holland Amsterdam · Zbl 0276.62095
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[10] Rao, P.; Griliches, Z., Small sample properties of several two-stage regression methods in the context of autocorrelated errors, Journal of the American Statistical Association, 64, 251-272 (1969)
[11] Spitzer, J. J., Small-sample properties of nonlinear least squares and maximum likelihood estimators in the context of autocorrelated errors, Journal of the American Statistical Association, 74, 41-47 (1979)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.