Econometrica Vol. 40 No. 2 1972
Asymptotic Covariance Matrix of Procedures for Linear Regression in the Presence of First-Order Autoregressive Disturbances
Abstract
[The methods of Cochrane and Orcutt orr Hildreth and Lu to correct linear regressions for first-order autoregression in the disturbances, as usually implemented, underestimate the standard errors of the regression coefficients whenever a lagged dependent variable is included. A convenient transformation is derived from the information matrix to remove this bias. The asymptotic standard error of the estimated serial coefficient is a useful coproduct of the analysis.]
- DOI
- 10.2307/1909408
- Volume
- 40
- Issue
- 2
- Pages
- 305
- Sources
- bibtex:phds-export.bib openalex crossref