Efficiency of iterative estimators in the regression model with AR(1) disturbances |
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| Authors: | Lonnie Magee |
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| Affiliation: | McMaster University, Hamilton, Ont., Canada L8S 4M4 |
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| Abstract: | The mean square error approximation method of Nagar is applied to the iterated Prais-Winsten and (iterated) maximum likelihood estimators of regression coefficients in the model with AR(1) disturbances. Their mean square errors are found to equal that of the two-stage Prais-Winsten estimator at the second-order level of approximation. |
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