A New Estimator for Regression Model with Serially Correlated Errors

摘要：

The problem of estimating the unknown parameter in the econometric model with serial correlation is considered. It was found that the estimator βof βis near its true value,whereas the estimator ρ of ρis relatively far from its true value. A new estimator is given under the sum of squared residuals and the absolute residuals criteria respectively .The method is illustrated by a simulation study.It is pointed out that the key idea of the model is to improve the estimator of ρ .

作者: Junxing Zhou

作者单位: Mathematics and Statistics School Zhejiang University of Finance and Economics Hangzhou Zhejiang China 310018

会议类型: 国际会议

会议名称: Fourth International Conference on Impulsive and Hybrid Dynamical Systems(ICIHDS 2007)(第四届国际脉冲和混合动力系统学术会议)

会议地点: 南宁

会议语种:英文

在线出版日期: 2007-07-20（万方平台首次上网日期，不代表论文的发表时间）