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The efficiency of OLS in the presence of auto-correlated disturbances in regression models

Safi, Samir K.; White, Alexander (2006)
The ordinary least squares (OLS) estimates in the regression model are efficient when the disturbances have mean zero, constant variance, and are uncorrelated. In problems concerning time series, it is often the case that ...

The institutional repository of the Islamic University of Gaza was established as part of the ROMOR project that has been co-funded with support from the European Commission under the ERASMUS + European programme. This publication reflects the views only of the author, and the Commission cannot be held responsible for any use which may be made of the information contained therein.

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AuthorSafi, Samir K. (1)
White, Alexander (1)
Subject
autocorrelation (1)
autoregressive (1)efficiency (1)
generalized least squares (1)
ordinary least squares (1)... View MoreDate Issued
2006 (1)

The institutional repository of the Islamic University of Gaza was established as part of the ROMOR project that has been co-funded with support from the European Commission under the ERASMUS + European programme. This publication reflects the views only of the author, and the Commission cannot be held responsible for any use which may be made of the information contained therein.

Contact Us | Send Feedback