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Small-Sample Properties of Several Two-Stage Regression Methods in the Context of Auto-Correlated Errors

 

作者: Potluri Rao,   Zvi Griliches,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1969）
卷期: Volume 64, issue 325  

页码: 253-272

 

ISSN:0162-1459

 

年代: 1969

 

DOI:10.1080/01621459.1969.10500968

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

In a linear regression model, when errors are autocorrelated, several asymptotically efficient estimators of parameters have been suggested in the literature. In this paper we study their small sample efficiency using Monte Carlo methods.

 

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