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Journal of the American Statistical Association Volume 84, 1989 - Issue 405
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Theory and Method

Efficiency of Ordinary Least Squares for Linear Models with Autocorrelation

Terry E. Dielman M.J. Neeley School of Business, Texas Christian University, Fort Worth, TX, 76129, USA
&
Roger C. Pfaffenberger M.J. Neeley School of Business, Texas Christian University, Fort Worth, TX, 76129, USA
Page 248 | Received 01 Oct 1987, Published online: 12 Mar 2012

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Read on this site (2)

Moti L. Tiku, Wing-Keung Wong & Guorui Bian. (1999) Estimating parameters in autoregressive models in non-normal situations: symmetric innovations. Communications in Statistics - Theory and Methods 28:2, pages 315-341.
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Clifford B. Cordy & Daniel A. Griffith. (1993) Efficiency of least squares estimators in the presence of spatial autocorrelation. Communications in Statistics - Simulation and Computation 22:4, pages 1161-1179.
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Articles from other publishers (5)

Federico Martellosio. (2011) Efficiency of the OLS estimator in the vicinity of a spatial unit root. Statistics & Probability Letters 81:8, pages 1285-1291.
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Federico Martellosio. (2009) POWER PROPERTIES OF INVARIANT TESTS FOR SPATIAL AUTOCORRELATION IN LINEAR REGRESSION. Econometric Theory 26:1, pages 152-186.
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Terry E. Dielman & Roger C. Pfaffenberger. (1989) Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations. Statistical Papers 30:1, pages 163-183.
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Moti L Tiku, Wing-Keung Wong & Guorui Bian. (2018) Estimating Parameters in Autoregressive Models in Non-Normal Situations: Symmetric Innovations. SSRN Electronic Journal.
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Jialiang Li, Fang Shao & Wing-Keung Wong. (2015) Estimating Parameters in Autoregressive Models with Asymmetric Innovations: MMLE and Nonlinear Approaches. SSRN Electronic Journal.
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