Specification of the disturbance for efficient estimation - An extendeed analysis

Publisher:
Wiley
Publication Type:
Journal Article
Citation:
Econometrica, 1977, 45 (1), pp. 211 - 217
Issue Date:
1977-01
Full metadata record
Files in This Item:
Filename Description Size
2009004291OK.pdf223.76 kB
Adobe PDF
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"
Please use this identifier to cite or link to this item: