Specification of the disturbance for efficient estimation - An extendeed analysis

Nicholls, D; Pagan, AR

Specification of the disturbance for efficient estimation - An extendeed analysis

Nicholls, D Pagan, AR

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Publisher:: Wiley
Publication Type:: Journal Article
Citation:: Econometrica, 1977, 45 (1), pp. 211 - 217
Issue Date:: 1977-01

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Field	Value	Language
dc.contributor.author	Nicholls, D	en_US
dc.contributor.author	Pagan, AR	en_US
dc.date.issued	1977-01	en_US
dc.identifier.citation	Econometrica, 1977, 45 (1), pp. 211 - 217	en_US
dc.identifier.issn	0012-9682	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13937
dc.description.abstract	IN A RECENT ARTICLE Robert Engle [2] explored the extent of the sin practicing econometricians commit when approximating the true autocorrelation function of the disturbances in a regression by some finite parameter scheme, and finished by giving some rules to attain salvation. Perhaps the major implication of the paper is that ordinary least squares (OLS) is likely to be an efficient estimator in many circumstances; e.g., "Consequently, moving from OLS to ALS, which is itself an inefficient estimator, should not yield much of a gain in efficiency unless serial correlation is substantial"	en_US
dc.publisher	Wiley	en_US
dc.relation.ispartof	Econometrica	en_US
dc.relation.isbasedon	10.2307/1913297	en_US
dc.subject.classification	Econometrics	en_US
dc.title	Specification of the disturbance for efficient estimation - An extendeed analysis	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	45	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	45	en_US

Abstract:

IN A RECENT ARTICLE Robert Engle [2] explored the extent of the sin practicing econometricians commit when approximating the true autocorrelation function of the disturbances in a regression by some finite parameter scheme, and finished by giving some rules to attain salvation. Perhaps the major implication of the paper is that ordinary least squares (OLS) is likely to be an efficient estimator in many circumstances; e.g., "Consequently, moving from OLS to ALS, which is itself an inefficient estimator, should not yield much of a gain in efficiency unless serial correlation is substantial"

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http://hdl.handle.net/10453/13937