Second-order properties of estimators of serial correlation from regression residuals

Dennis P. Sheehan

doi:10.1016/0304-4076(85)90008-9

Second-order properties of estimators of serial correlation from regression residuals

Dennis P. Sheehan

Finance

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

2 Scopus citations

Abstract

Second-order properties of estimators and tests offer a way of choosinf among aymptotically equivalent procedures. This paper studies the second-order terms of two estimators of serial correlation in the linear model. Using these second-order approximations, the maximum likelihood estimator is judge to be superior in terms of bias and variance. A small Monte Carlo experiment is done to assess the accuracy of the results.

Original language	English (US)
Pages (from-to)	299-311
Number of pages	13
Journal	Journal of Econometrics
Volume	27
Issue number	3
DOIs	https://doi.org/10.1016/0304-4076(85)90008-9
State	Published - Mar 1985

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1016/0304-4076(85)90008-9

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title = "Second-order properties of estimators of serial correlation from regression residuals",

abstract = "Second-order properties of estimators and tests offer a way of choosinf among aymptotically equivalent procedures. This paper studies the second-order terms of two estimators of serial correlation in the linear model. Using these second-order approximations, the maximum likelihood estimator is judge to be superior in terms of bias and variance. A small Monte Carlo experiment is done to assess the accuracy of the results.",

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AB - Second-order properties of estimators and tests offer a way of choosinf among aymptotically equivalent procedures. This paper studies the second-order terms of two estimators of serial correlation in the linear model. Using these second-order approximations, the maximum likelihood estimator is judge to be superior in terms of bias and variance. A small Monte Carlo experiment is done to assess the accuracy of the results.

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Second-order properties of estimators of serial correlation from regression residuals

Abstract

All Science Journal Classification (ASJC) codes

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