ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES

A. Ullah, V. K. Srivastava, Lonnie Magee () and A. Srivastava

Journal of Time Series Analysis, 1983, vol. 4, issue 2, 127-135

Abstract: Abstract. In this paper we have derived the large sample asymptotic approximation for the variance‐covariance matrix of the two stage Prais‐Winston estimator of the regression coefficients. The efficiency properties of this estimator with respect to ordinary least squares, and generalized least squares with a known autocorrelation coefficient are then analysed numerically. The results are useful for the practitioners dealing with moderate size sample data.

Date: 1983
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