Second-order properties of estimators of serial correlation from regression residuals
作者： Dennis P. Sheehan
DOI: 10.1016/0304-4076(85)90008-9
关键词: Estimator 、 Monte Carlo method 、 Statistics 、 Simple linear regression 、 M-estimator 、 Linear regression 、 Regression 、 Linear model 、 Autocorrelation 、 Mathematics
摘要: Abstract Second-order properties of estimators and tests offer a way choosinf among aymptotically equivalent procedures. This paper studies the second-order terms two serial correlation in linear model. Using these approximations, maximum likelihood estimator is judge to be superior bias variance. A small Monte Carlo experiment done assess accuracy results.
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