Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with ar(1) errors
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference9 articles.
1. A maximum likelihood procedure for regression with autocorrelated errors;Beach;Econometrica,1978
2. Application of least squares regression to relationships containing autocorrelated error terms;Cochrane;Journal of the American Statistical Association,1949
3. Comparison of k-class estimators when the disturbances are small;Kadane;Econometrica,1971
4. Autocorrelation pre-testing in the linear model: Estimation, testing and prediction;King;Journal of Econometrics,1984
Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Small Sample Properties Of Existing And New Estimators Of The Autocorrelation Coefficient And Regression Coefficients In The Context Of Ar(1) Errors;Journal of Quantitative Economics;2005-01
2. Resampling methods for tests in regression models with autocorrelated errors;Economics Letters;1991-07
3. On estimating and testing in a linear regression model with autocorrelated errors;Journal of Econometrics;1990-06
4. On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors;Communications in Statistics - Simulation and Computation;1990-01
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