Improved estimation of the linear regression model with autocorrelated errors

Authors

A Chaturvedi, University of Allahabad
Tran Van Hoa, University of WollongongFollow
Ram Lal, University of Allahabad

Publication Date

1990

Recommended Citation

Chaturvedi, A; Hoa, Tran Van; and Lal, Ram, Improved estimation of the linear regression model with autocorrelated errors, Department of Economics, University of Wollongong, Working Paper 90-14, 1990, 11.
https://ro.uow.edu.au/commwkpapers/327

Abstract

For estimating the coefficient vector of a linear regression model with first order autoregressive disturbances, a family of Stein-rule estimators based on the two-step Prais-Winsten estimating procedure is considered and an Edgeworth type asymptotic expansion for its distribution is derived. The performance of this family of estimators relative to the two-step Prais-Winsten estimator is also derived under a squared error loss function.