Nonlinear regression with autocorrelated errors

A. Ronald Gallant; J. Jeffery Goebel

doi:10.1080/01621459.1976.10480977

Nonlinear regression with autocorrelated errors

A. Ronald Gallant, J. Jeffery Goebel

Economics

Research output: Contribution to journal › Article › peer-review

122 Scopus citations

Abstract

An estimator of the parameters of a nonlinear time series regression is obtained by using an autoregressive assumption to approximate the variance-covariance matrix of the disturbances. Considerations are set forth which suggest that this estimator will have better small sample efficiency than circular estimators. Such is the case for examples considered in a Monte Carlo study.

Original language	English (US)
Pages (from-to)	961-967
Number of pages	7
Journal	Journal of the American Statistical Association
Volume	71
Issue number	356
DOIs	https://doi.org/10.1080/01621459.1976.10480977
State	Published - Dec 1976

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1080/01621459.1976.10480977

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title = "Nonlinear regression with autocorrelated errors",

abstract = "An estimator of the parameters of a nonlinear time series regression is obtained by using an autoregressive assumption to approximate the variance-covariance matrix of the disturbances. Considerations are set forth which suggest that this estimator will have better small sample efficiency than circular estimators. Such is the case for examples considered in a Monte Carlo study.",

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Nonlinear regression with autocorrelated errors

Abstract

All Science Journal Classification (ASJC) codes

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