Specification of the disturbance for efficient estimation - An extendeed analysis

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dc.contributor.author Nicholls, D
dc.contributor.author Pagan, AR
dc.date.accessioned 2011-02-07T06:26:10Z
dc.date.issued 1977-01
dc.identifier.citation Econometrica, 1977, 45 (1), pp. 211 - 217
dc.identifier.issn 0012-9682
dc.identifier.other C1UNSUBMIT 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"
dc.format Yes
dc.publisher Wiley
dc.relation.isbasedon 10.2307/1913297
dc.title Specification of the disturbance for efficient estimation - An extendeed analysis
dc.type Journal Article
dc.parent Econometrica
dc.journal.volume 1
dc.journal.volume 45
dc.journal.number 1 en_US
dc.publocation USA en_US
dc.identifier.startpage 211 en_US
dc.identifier.endpage 217 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 100844
dc.percentage 100 en_US
dc.classification.name Econometrics 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 Uncategorised (ID: 363)
utslib.collection.history Closed (ID: 3)


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