Accession Number : ADA095041


Title :   Estimating the Autocorrelated Error Model with Trended Data: Further Results,


Corporate Author : RAND CORP SANTA MONICA CA


Personal Author(s) : Park,Rolla Edward ; Mitchell,Bridger M


Full Text : https://apps.dtic.mil/dtic/tr/fulltext/u2/a095041.pdf


Report Date : Nov 1979


Pagination or Media Count : 39


Abstract : A Monte Carlo study is made of the small sample properties of various estimators of the linear regression model with first-order autocorrelated errors. When independent variables are trended, estimators using T transformed observations (Prais-Winsten) are much more efficient than those using T-1 (Cochrane-Orcutt). The best of the feasible estimators is iterated Prais-Winsten using a sum-of-squared-error minimizing estimate of the autocorrelation coefficient rho. None of the feasible estimators performs well in hypothesis testing; all seriously underestimate standard errors, making estimated coefficients appear to be much more significant than they actually are. (Author)


Descriptors :   *AUTOCORRELATION , *ERROR ANALYSIS , *LINEAR REGRESSION ANALYSIS , MATRICES(MATHEMATICS) , TIME SERIES ANALYSIS , MONTE CARLO METHOD , TRANSFORMATIONS(MATHEMATICS) , COEFFICIENTS , COMPUTER APPLICATIONS , COVARIANCE , ECONOMETRICS , ITERATIONS


Subject Categories : Statistics and Probability


Distribution Statement : APPROVED FOR PUBLIC RELEASE