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Small-sample properties of estimators of the autocorrelation coefficient

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  • van den Berg, G.

    (Tilburg University, School of Economics and Management)

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  • van den Berg, G., 1986. "Small-sample properties of estimators of the autocorrelation coefficient," Other publications TiSEM 03414dd6-10fa-4f48-a742-e, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:03414dd6-10fa-4f48-a742-e094ea50c530
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    References listed on IDEAS

    as
    1. Pantula, Sastry G. & Fuller, Wayne A., 1985. "Mean estimation bias in least squares estimation of autoregressive processes," Journal of Econometrics, Elsevier, vol. 27(1), pages 99-121, January.
    2. Taylor, William E., 1981. "On the efficiency of the Cochrane-Orcutt estimator," Journal of Econometrics, Elsevier, vol. 17(1), pages 67-82, September.
    3. F. J. H. Don, 1979. "The Expectation of Products of Quadratic Forms in Normal Variables," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 33(2), pages 73-79, June.
    4. Jan R. Magnus, 1979. "The expectation of products of quadratic forms in normal variables: the practice," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 33(3), pages 131-136, September.
    5. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
    6. Jan R. Magnus, 1978. "The moments of products of quadratic forms in normal variables," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 32(4), pages 201-210, December.
    7. Magnus, J.R., 1979. "The expectation of products of quadratic forms in normal variables : The practice Statistica Neerlandica," Other publications TiSEM fe936fc3-c7db-4806-80b3-6, Tilburg University, School of Economics and Management.
    8. Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
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