Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors

1 December 1980

journal article
Published by JSTOR in Journal of the American Statistical Association

Vol. 75 (372) , 1005
https://doi.org/10.2307/2287196

Abstract

In the standard linear regression model y = X β + u, with errors following a first-order stationary autoregressive process, it is shown that the relative effici...

Keywords

LINEAR REGRESSION
AUTOCORRELATED ERRORS
SQUARES
FINITE SAMPLE EFFICIENCY

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