Statistical Papers

, Volume 30, Issue 1, pp 163–183 | Cite as

Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations

  • Terry E. Dielman
  • Roger C. Pfaffenberger
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Abstract

This paper provides a review of the literature concerning estimation in time series regression with first-order autocorrelated disturbances. Some additional simulation results confirm that the Cochrane-Orcutt estimator should not be used to correct for autocorrelation whether the explanatory variable is trended or not. Preferred estimators include a Bayesian estimator, full maximum likelihood and the iterative Prais-Winsten estimator.

Keywords

Generalize Little Square Bayesian Estimator Best Linear Unbiased Estimator Autocorrelated Error Generalize Little Square Estimator 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information

© Springer-Verlag 1989

Authors and Affiliations

  • Terry E. Dielman
    • 1
  • Roger C. Pfaffenberger
    • 1
  1. 1.M. J. Neeley School of BusinessTexas Christian UniversityFort Worth

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