Estimating the autocorrelated error model with trended data : further results

Rolla Edward Park, Bridger M. Mitchell

ResearchPublished 1979

A Monte Carlo study is made of the small sample properties of various estimators of the linear regression model with first-order autocorrelated errors. When independent variables are trended, estimators using T transformed observations (Prais-Winsten) are much more efficient than those using T-1 (Cochrane-Orcutt). The best of the feasible estimators is iterated Prais-Winsten using a sum-of-squared-error minimizing estimate of the autocorrelation coefficient rho. None of the feasible estimators performs well in hypothesis testing; all seriously underestimate standard errors, making estimated coefficients appear to be much more significant than they actually are.

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  • Copyright: RAND Corporation
  • Availability: Available
  • Year: 1979
  • Print Format: Paperback
  • Paperback Pages: 44
  • Paperback Price: $23.00
  • Paperback ISBN/EAN: 978-0-8330-0193-1
  • Document Number: R-2470

Citation

RAND Style Manual
Park, Rolla Edward and Bridger M. Mitchell, Estimating the autocorrelated error model with trended data : further results, RAND Corporation, R-2470, 1979. As of October 11, 2024: https://www.rand.org/pubs/reports/R2470.html
Chicago Manual of Style
Park, Rolla Edward and Bridger M. Mitchell, Estimating the autocorrelated error model with trended data : further results. Santa Monica, CA: RAND Corporation, 1979. https://www.rand.org/pubs/reports/R2470.html. Also available in print form.
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