Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
- 1 January 1989
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 18 (2) , 395-422
- https://doi.org/10.1080/03610928908829907
Abstract
Second-order approximations are obtained to the biases of several common estimators of the error variance σ2 and autocorrelation coefficient ρ in the linear regression model with AR(1) errors. The estimation methods considered are maximum likelihood and three versions of two-stage and iterated feasible GLS (Prais-Winsten). A simple relation between the approximate biases of ρ2 and ρ is noted. The accuracy of these approximations is assessed by simulation.Keywords
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