Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Metroeconomica
24 (1972), S. 0
ISSN:
1467-999X
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Available methods for dealing with autocorrelated disturbanecs are unsatisfactory. They are computationally cumbersome and lead to estimators that have only weak asymptotic properties. Maximum likelihood estimation of all parameters is theoretically preferable, but has been unpopular due to the practical difficulties of numerical optimization in a multidimensional space. In this paper it is shown that the computational aspect of maximum likelihood estimation can be greatly simplified. The numerical search is confined to the interval (— 1, 1) of the autocorrelation parameter. The method is applicable to a single static equation as well as to autoregressive models with one or more equations. Some sampling experiments demonstrate the superiority of the maximum likelihood estimator over ordinary least squares, generalized least squares, and one other estimator in small samples.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1467-999X.1972.tb00202.x
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