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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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    File URL: http://hdl.handle.net/10.1007/s00362-003-0164-9
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    Bibliographic Info

    Article provided by Springer in its journal Statistical Papers.

    Volume (Year): 44 (2003)
    Issue (Month): 3 (July)
    Pages: 421-432

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    Handle: RePEc:spr:stpapr:v:44:y:2003:i:3:p:421-432

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    Web page: http://www.springer.com/statistics/business/journal/362

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    Related research

    Keywords: Autocorrelation; Seasonal data; Efficiency of OLSE; COTE;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. 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.
    2. 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.
    3. Kramer, Walter, 1982. "Note on Estimating Linear Trend When Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 50(4), pages 1065-67, July.
    4. Chipman, John S, 1979. "Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 47(1), pages 115-28, January.
    5. Taylor, William E., 1981. "On the efficiency of the Cochrane-Orcutt estimator," Journal of Econometrics, Elsevier, vol. 17(1), pages 67-82, September.
    6. 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 259-65, February.
    7. Maeshiro, Asatoshi, 1980. "Autocorrelation and Trended Explanatory Variables: A Reply," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 487-89, August.
    8. 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.
    9. 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 227-40, August.
    10. King, Maxwell L., 1984. "A new test for fourth-order autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 24(3), pages 269-277, March.
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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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