Second-order properties of estimators of serial correlation from regression residuals

Dennis P. Sheehan

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

Second-order properties of estimators and tests offer a way of choosinf among aymptotically equivalent procedures. This paper studies the second-order terms of two estimators of serial correlation in the linear model. Using these second-order approximations, the maximum likelihood estimator is judge to be superior in terms of bias and variance. A small Monte Carlo experiment is done to assess the accuracy of the results.

Original languageEnglish (US)
Pages (from-to)299-311
Number of pages13
JournalJournal of Econometrics
Volume27
Issue number3
DOIs
StatePublished - Jan 1 1985

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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