Accession Number:

ADA095041

Title:

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

Descriptive Note:

Corporate Author:

RAND CORP SANTA MONICA CA

Report Date:

1979-11-01

Pagination or Media Count:

39.0

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE