Journal of the Korean Statistical Society

  • 제27권3호
  • /
  • Pages.319-329
  • /
  • 1998
  • /
  • 1226-3192(pISSN)
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  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

The Efficiency of the Cochrane-Orcutt Estimation Procedure in Autocorrelated Regression Models

  • 발행 : 1998.09.01
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초록

In the linear regression model with an autocorrelated disturbances, the Cochrane-Orcutt estimator (COE) is a well known alternative to the Generalized Least Squares estimator (GLSE). The efficiency of COE has been studied empirically in a Monte Carlo study when the unknown parameters are estimated by maximum likelihood method. In this paper, it is theoretically proved that the COE is shown to be inferior to the GLSE. The comparisons are based on the difference of corresponding information matrices or the ratio of their determinants.

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참고문헌

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