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 The Efficiency of OLS in the Presence of Auto- correlated Errors. The Efficiency of OLS in the Presence of Auto- correlated Errors
Наименование:

The Efficiency of OLS in the Presence of Auto- correlated Errors. The Efficiency of OLS in the Presence of Auto- correlated Errors

автор Samir S. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 164        мягкая обложка       
Аннотация:We have derived explicit formulae for the relative efficiencies of the GLS to that of OLS in some important special cases. In time series, it is often the errors are correlated. It is known that the ordinary least squares (OLS) estimates in the regression model are efficient when the errors have mean zero, constant variance and are uncorrelated. For other forms of the dependent variable, we have developed rules of thumb to guide practitioners in their choice of estimators. Additionally, using computer simulations, we consider the robustness of various estimators, including estimated GLS. We have proved that the relative efficiency of the variance of the generalized least squares (GLS) to that of OLS is invariant to scaling and shifting of the design vectors. We found that if the error structure is autoregressive and the dependent variable is nonstochastic and linear or quadratic, the OLS performs nearly as well as its competitors. We consider both linear and quadratic design vectors in the presence of AR(1) errors and show some asymptotic properties of the estimators. It is known that OLS may not be optimal in this context.
Автор: Samir S.
Издательство: Книга по Требованию
Год:2008
Цена:
2783 руб
Нет в наличии
Поиск: The Efficiency of OLS in the Presence of Auto- correlated Errors. The Efficiency of OLS in the Presence of Auto- correlated Errors
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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