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Estimating the Autocorrelated Error Model with Trended Data, Further Results
Rolla Edward ParkBridger M. MitchellRand Corporation
出版Rand, 1979
主題Mathematics / Probability & Statistics / GeneralMathematics / Probability & Statistics / Multivariate AnalysisMathematics / Probability & Statistics / Stochastic ProcessesMathematics / Numerical Analysis
ISBN08330019309780833001931
URLhttp://books.google.com.hk/books?id=aILsAAAAMAAJ&hl=&source=gbs_api
註釋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).