The DOI matches its Crossref record.
Application of Least Squares Regression to Relationships Containing Auto-Correlated Error Terms
Abstract
We point out that autocorrelated error terms require modification of the usual methods of estimation and prediction; and we present evidence showing that the error terms involved in most current formulations of economic relations are highly positively autocorrelated. In doing this we demonstrate that when estimates of autoregressive properties of error terms are based on calculated residuals there is a large bias towards randomness. We demonstrate how much efficiency may be lost by current methods of estimation and prediction; and we give a tentative method of procedure for regaining the lost efficiency.
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Cited by
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Silverman, B. W. (1985) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1985.tb01327.x · Cited by 1,117
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Perron, P., & Yabu, T. (2009) · Journal of Business & Economic Statistics · doi:10.1198/jbes.2009.07268 · Cited by 271
Brossart, D. F., Parker, R. I., Olson, E. A., & Mahadevan, L. (2006) · Behavior Modification · doi:10.1177/0145445503261167 · Cited by 217
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Metadata
- Authors
- Cochrane, D., & Orcutt, G. H.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1949-03
- Volume
- 44
- Issue
- 245
- Pages
- 32-61
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2017887707
- Cited by
- 1,376
- References
- 0
- FWCI
- 7.41
- Type
- journal article
- Language
- en
- Open access
- closed
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