REGRESSION COEFFICIENT ESTIMATION IN SMALL LINEAR MODELS WITH UNKNOWN AUTOCORRELATION: EVALUATION AND RECOMMENDATION

C. Dubbelman and E. A. de Groot

No 272275, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: This study evaluates estimators of the regression coefficients in the linear model, where the disturbances follow a first order autocorrelation scheme with unkriown parameter. Our interest i concentrated on situations where the data matrix consists of n = 15 observations on each of k = 3 regressors from the field of economic time series. Several well-known estimation procedures are compared with regard to efficiency and confidence, by means of simulations. The study terminates in a recommended procedure, which is a blend of OLS, the Prais-Winsten method, and a newly designed method.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 76
Date: 1983-01
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272275

DOI: 10.22004/ag.econ.272275

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