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Nonlinear Regression with Autocorrelated Errors

 

作者: A.Ronald Gallant,   J.Jeffery Goebel,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1976）
卷期: Volume 71, issue 356  

页码: 961-967

 

ISSN:0162-1459

 

年代: 1976

 

DOI:10.1080/01621459.1976.10480977

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

An estimator of the parameters of a nonlinear time series regression is obtained by using an autoregressive assumption to approximate the variance-covariance matrix of the disturbances. Considerations are set forth which suggest that this estimator will have better small sample efficiency than circular estimators. Such is the case for examples considered in a Monte Carlo study.

 

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