A SIMPLE RECURSIVE ESTIMATION METHOD FOR LINEAR-REGRESSION MODELS WITH AR(P) DISTURBANCES Academic Article

abstract

• An exact transformation that reduces the AR(p) process into white noise is well known in statistics, see Fuller (1976). However, practitioners still use and econometric textbooks still recommend the Cochrane-Orcutt procedure for p>2, see Greene (1990). This paper derives an alternative exact transformation for the AR(p) process which is computationally simple. Based on this transformation, a GLS estimator is proposed, requiring only least squares regressions and recursive computations. This is illustrated for the AR(3) case. 1994 Springer-Verlag.

authors

• Li, Qi

published proceedings

• STATISTICAL PAPERS

author list (cited authors)

• BALTAGI, B. H., & LI, Q.

citation count

• 3

complete list of authors

• BALTAGI, BH||LI, Q

publication date

• December 1994

publisher

• Springer Nature  Publisher

published in

• Statistical Papers  Journal

keywords

• AUTOCORRELATION TRANSFORMATION
• AUTOREGRESSIVE PROCESS
• SERIAL CORRELATION

Digital Object Identifier (DOI)

• 10.1007/BF02926403

start page

• 93

end page

• 100

volume

• 35

issue

• 2

URL

• http://dx.doi.org/10.1007/bf02926403