Generalized least squares transformation and estimation with autoregressive error

Approximations of the usual GLS transformation matrices are proposed for estimation with AR error that remove boundary discontinuities. The proposed method avoids constrained optimization or rules of thumb that unnecessarily enforce estimated parameters to be in the interior.

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Year of publication:	2008
Authors:	Vougas, Dimitrios V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 4, p. 402-404
Publisher:	Elsevier
Keywords:	Gaussian AR model GLS transformation NLS and QML estimation LR test

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

Persistent link: https://www.econbiz.de/10005074826