Specification of the disturbance for efficient estimation - An extendeed analysis

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dc.contributor.author Nicholls, D en_US
dc.contributor.author Pagan, Adrian en_US
dc.contributor.editor en_US
dc.date.accessioned 2011-02-07T06:26:10Z
dc.date.available 2011-02-07T06:26:10Z
dc.date.issued 1977 en_US
dc.identifier 2009004291 en_US
dc.identifier.citation Nicholls D and Pagan Adrian 1977, 'Specification of the disturbance for efficient estimation - An extendeed analysis', Wiley, vol. 45, no. 1, pp. 211-217. en_US
dc.identifier.issn 0012-9682 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/13937
dc.description.abstract IN A RECENT ARTICLE Robert Engle [2] explored the extent of the sin practicing econometricians commit when approximating the true autocorrelation function of the disturbances in a regression by some finite parameter scheme, and finished by giving some rules to attain salvation. Perhaps the major implication of the paper is that ordinary least squares (OLS) is likely to be an efficient estimator in many circumstances; e.g., "Consequently, moving from OLS to ALS, which is itself an inefficient estimator, should not yield much of a gain in efficiency unless serial correlation is substantial" en_US
dc.language en_US
dc.publisher Wiley en_US
dc.relation.isbasedon http://dx.doi.org/10.2307/1913297 en_US
dc.title Specification of the disturbance for efficient estimation - An extendeed analysis en_US
dc.parent Econometrica en_US
dc.journal.volume 45 en_US
dc.journal.number 1 en_US
dc.publocation USA en_US
dc.identifier.startpage 211 en_US
dc.identifier.endpage 217 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140300 en_US
dc.personcode 0000060673 en_US
dc.personcode 100844 en_US
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.staffid en_US
dc.staffid 100844 en_US


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