The Effect of the First Observation in Regression Models with First‐Order Autoregressive Disturbances

Dale J. Poirier

Journal of the Royal Statistical Society Series C, 1978, vol. 27, issue 1, 67-68

Abstract: Based on well‐known updating formulae used in Kalman filtering and recursive residual estimation, this study presents simple formulae for determining the effect of including the first observation in regression models with first‐order autoregressive disturbances. These formulae describe the changes in coefficient estimates, variance estimates and covariance estimates in terms of similar quantities involving the first observation.

Date: 1978
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