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.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics