A generalized approach to the treatment of autocorrelation

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dc.contributor.author Pagan, AR
dc.date.accessioned 2011-02-07T06:25:57Z
dc.date.issued 1974-01
dc.identifier.citation Australian Economic Papers, 1974, 13 (23), pp. 267 - 280
dc.identifier.issn 0004-900X
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/13912
dc.description.abstract One of the earliest problems considered and analysed by econometricians was that posed by the presence of autocorrelation in regression models In the now classic article by Cochrane and Orcutt a definitive treatment of the standard Markov alternative was presented, and a simple transformation was proposed enabling users to circumvent the computational difficulties found in attempts to apply the (theoretically correct) generalised least squares technique. Such was the influence of this article that only small modifications were later made to the procedure: the seeming lethargy having a two-fold cause (a) The emphasis upon the use of yearly data in econometric models made the Markov process a realistic one and (b) the rigours of computation demanded a simple transformation device. In recent years there appears to have been a reconsideration of this dual justification, stemming primarily from a strong desire to free econometric modelling from traditional restrictionsthus, the development of transformations for fourth and second order correlation
dc.format Yes
dc.publisher Wiley-Blackwell Publishing Asia
dc.relation.isbasedon 10.1111/j.1467-8454.1974.tb00321.x
dc.title A generalized approach to the treatment of autocorrelation
dc.type Journal Article
dc.parent Australian Economic Papers
dc.journal.volume 23
dc.journal.volume 13
dc.journal.number 23 en_US
dc.publocation Adelaide, Australia en_US
dc.identifier.startpage 267 en_US
dc.identifier.endpage 280 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1401 Economic Theory
dc.personcode 100844
dc.percentage 100 en_US
dc.classification.name Economic Theory en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)

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