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Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances

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  • Roland Jeske
  • Seuck Song

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  • Roland Jeske & Seuck Song, 2003. "Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances," Statistical Papers, Springer, vol. 44(3), pages 421-432, July.
    • Handle: RePEc:spr:stpapr:v:44:y:2003:i:3:p:421-432
    DOI: 10.1007/s00362-003-0164-9
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    References listed on IDEAS

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    1. Busse, Ralf & Jeske, Roland & Kramer, Walter, 1994. "Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated," Economics Letters, Elsevier, vol. 45(3), pages 267-271.
    2. Maeshiro, Asatoshi, 1980. "Autocorrelation and Trended Explanatory Variables: A Reply," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 487-489, August.
    3. Taylor, William E., 1981. "On the efficiency of the Cochrane-Orcutt estimator," Journal of Econometrics, Elsevier, vol. 17(1), pages 67-82, September.
    4. Kramer, Walter, 1982. "Note on Estimating Linear Trend When Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 50(4), pages 1065-1067, July.
    5. Chipman, John S, 1979. "Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 47(1), pages 115-128, January.
    6. Jeske, Roland & Butefisch, Thomas & Song, Seuck Heun, 1996. "The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process," Economics Letters, Elsevier, vol. 52(3), pages 235-240, September.
    7. Maeshiro, Asatoshi, 1976. "Autoregressive Transformation, Trended Independent Variables and Autocorrelated Disturbance Terms," The Review of Economics and Statistics, MIT Press, vol. 58(4), pages 497-500, November.
    8. Dale J. Poirier, 1978. "The Effect of the First Observation in Regression Models with First‐Order Autoregressive Disturbances," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 27(1), pages 67-68, March.
    9. Doran, Howard E., 1981. "Omission of an observation from a regression analysis : A dicussion on efficiency loss, with applications," Journal of Econometrics, Elsevier, vol. 16(3), pages 367-374, August.
    10. Oxley, Leslie T & Roberts, Colin J, 1982. "Pitfalls in the Application of the Cochrane-Orcutt Technique," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 44(3), pages 227-240, August.
    11. Maeshiro, Asatoshi, 1979. "On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 259-265, February.
    12. Martin L. Puterman, 1988. "Leverage and Influence in Autocorrelated Regression Models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 37(1), pages 76-86, March.
    13. King, Maxwell L., 1984. "A new test for fourth-order autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 24(3), pages 269-277, March.
    14. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
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    Cited by:

    1. Martellosio, Federico, 2011. "Efficiency of the OLS estimator in the vicinity of a spatial unit root," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1285-1291, August.

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