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Estimation in a linear model with serially correlated errors when observations are missing

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  • McKenzie, C.R.
  • Kapuscinski, C.A.

Abstract

This paper compares the asymptotic efficiency of a number of two step estimators developed for estimating a static linear regression model with serially correlated errors when some observations are missing. A Monte Carlo simulation is used to illustrate the results in small samples.

Suggested Citation

  • McKenzie, C.R. & Kapuscinski, C.A., 1997. "Estimation in a linear model with serially correlated errors when observations are missing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 44(1), pages 1-9.
    • Handle: RePEc:eee:matcom:v:44:y:1997:i:1:p:1-9
    DOI: 10.1016/S0378-4754(97)00002-5
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    References listed on IDEAS

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    1. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 517-538.
    2. Wansbeek, Tom & Kapteyn, Arie, 1985. "Estimation in a Linear Model with Serially Correlated Errors When Observations Are Missing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 469-490, June.
    3. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    4. Colin McKenzie & Michael McAleer, 1997. "On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach," The Japanese Economic Review, Japanese Economic Association, vol. 48(4), pages 368-389, December.
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    Cited by:

    1. Deepa Dhume Datta & Wenxin Du, 2012. "Nonparametric HAC estimation for time series data with missing observations," International Finance Discussion Papers 1060, Board of Governors of the Federal Reserve System (U.S.).

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