IDEAS home Printed from https://ideas.repec.org/p/fip/fedlwp/1984-002.html
   My bibliography  Save this paper

A note on the relative efficiency of the Cochrane-Orcutt and OLS estimators when the autocorrelation process has a finite past

Author

Listed:
  • Daniel L. Thornton

Abstract

This note shows that the ordinary least squares estimator of a first-order autoregressive model is always more efficient relative to the Cochrane-Orcutt estimator if the autocorrelation process has a finite past than if its past is infinite. This result cast doubt on the usual suggestion that it might be better to delete the initial observation rather than weight it if the autocorrelation process has a finite past.

Suggested Citation

  • Daniel L. Thornton, 1984. "A note on the relative efficiency of the Cochrane-Orcutt and OLS estimators when the autocorrelation process has a finite past," Working Papers 1984-002, Federal Reserve Bank of St. Louis.
  • Handle: RePEc:fip:fedlwp:1984-002
    as

    Download full text from publisher

    File URL: http://research.stlouisfed.org/wp/1984/1984-002.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Fomby, Thomas B. & Guilkey, David K., 1983. "An examination of two-step estimators for models with lagged dependent variables and autocorrelated errors," Journal of Econometrics, Elsevier, vol. 22(3), pages 291-300, August.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedlwp:1984-002. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kathy Cosgrove). General contact details of provider: http://edirc.repec.org/data/frbslus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.