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Explicit Formulas to Determine the E¢ ciency of OLS in the Presence of First Order Autoregressive Disturbances
(الجامعة الإسلامية - غزة, 2006)
In problems concerning time series, it is often the case that the distur- bances are, in fact, correlated. It is known that the ordinary least squares (OLS) may not be optimal in this context. We have proved that the rela- ...
The efficiency of OLS in the presence of auto-correlated disturbances in regression models
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 ...