Generalized least squares transformation and estimation with autoregressive error

Dimitrios Vougas

Statistics & Probability Letters, 2008, vol. 78, issue 4, 402-404

Abstract: Approximations of the usual GLS transformation matrices are proposed for estimation with AR error that remove boundary discontinuities. The proposed method avoids constrained optimization or rules of thumb that unnecessarily enforce estimated parameters to be in the interior.

Keywords: Gaussian; AR; model; GLS; transformation; NLS; and; QML; estimation; LR; test (search for similar items in EconPapers)
Date: 2008
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