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Theory and Method

Efficiency of Ordinary Least Squares for Linear Models with Autocorrelation

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Page 248 | Received 01 Oct 1987, Published online: 12 Mar 2012
 

Abstract

This article provides a reconsideration of Kramer's (1980) results on least squares estimation in linear models with autocorrelated errors. Kramer's results are shown to be dependent on his measure of efficiency and to understate the advantages of correcting for autocorrelation.

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