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Estimating the Autocorrelated Error Model with Trended Data, Further Results

Estimating the Autocorrelated Error Model with Trended Data, Further Results PDF Author: Rolla Edward Park
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 54

Book Description
A Monte Carlo study is made of the small sample properties of various estimators of the linear regression model with first-order autocorrelated errors. When independent variables are trended, estimators using T transformed observations (Prais-Winsten) are much more efficient than those using T-1 (Cochrane-Orcutt). The best of the feasible estimators is iterated Prais-Winsten using a sum-of-squared-error minimizing estimate of the autocorrelation coefficient rho. None of the feasible estimators performs well in hypothesis testing; all seriously underestimate standard errors, making estimated coefficients appear to be much more significant than they actually are. (Author).
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