Leverage and cochrane-orcutt estimation in linear regression

Abstract

In this paper we investigate the influence of the correlation coefficient on the hat matrix diagonal component corresponding to the first transformed observation in regression models with AR(l)-errors. Furthermore a relationship between this first leverage and the efficiency of the Cochrane-Orcutt Estimator is established.

Keywords:

• regression
• Cochranc-Orcutt estimator
• autocorrelation
• leverage
• efficiency

¹Supported by “The German Marshall Fund of the United States” is gratefully acknowledged. This author also wishes to thank Professor George Judge, University of California, Berkeley, for his kind hospitality.

¹Supported by “The German Marshall Fund of the United States” is gratefully acknowledged. This author also wishes to thank Professor George Judge, University of California, Berkeley, for his kind hospitality.

Notes

¹Supported by “The German Marshall Fund of the United States” is gratefully acknowledged. This author also wishes to thank Professor George Judge, University of California, Berkeley, for his kind hospitality.