Communications for Statistical Applications and Methods

  • 제1권1호
  • /
  • Pages.112-118
  • /
  • 1994
  • /
  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Equivalence of GLS and Difference Estimator in the Linear Regression Model under Seasonally Autocorrelated Disturbances

  • Seuck Heun Song (Institute of Statistics, Korea University, Seoul 136-701, KOREA) ;
  • Jong Hyup Lee (Dept. of Statistics, Duksung Women's University, Seoul 132-174, KOREA)
  • 발행 : 1994.12.01
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

The generalized least squares estimator in the linear regression model is equivalent to difference estimator irrespective of the particular form of the regressor matrix when the disturbances are generated by a seasonally autoregressive provess and autocorrelation is closed to unity.

키워드

참고문헌

  1. Advanced Econometric methods Fomby, T. B.;Hill, R. C.;Johnson, S. R.
  2. Matrices with Applications in Statistics Graybill, F. A.
  3. Introduction to the Theory and practice of Econometrics Judgy, G. G.;Hill. R. C.;Griffiths, W. E.;Lutkelpohl, H.;Lee, T. C.
  4. Journal of Econometrics v.24 A New Test for Fourth-Order Autoregressive Disturbances King, M. L.
  5. Journal of the Royal Statistical Society A v.134 Seasonal Variation in Regression Analysis Thomas, J. J.;Wallis, K. F.
  6. Econometrica v.40 Testing for Fourth Order Autocorrelation in Quarterly Regression Equation Wallis, K. F.