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

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.

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Year of publication:	1997
Authors:	McKenzie, C.R. ; Kapuscinski, C.A.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 44.1997, 1, p. 1-9
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010870407