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Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances

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Abstract

The efficiency of OLSE relative to GLSE and COTE is studied in the case in which regressors are splines used to explain seasonal influences. It is thereby shown that efficiency measured as the ratio of total or generalized variances is independent of the actual design of splines. Furthermore, for positive autocorrelation, COTE is always worse than OLSE.

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Authors and Affiliations

  1. Department of Economics, Konstanz University, 78476, Konstanz, Germany

    Roland Jeske

  2. Department of Statistics, Korea University, 136-701, Seoul, Korea

    Seuck Heun Song

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  1. Roland Jeske
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  2. Seuck Heun Song
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Jeske, R., Song, S.H. Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances. Statistical Papers 44, 421–432 (2003). https://doi.org/10.1007/s00362-003-0164-9

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  • DOI: https://doi.org/10.1007/s00362-003-0164-9

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