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Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald
Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald
Douglas G. Steigerwald
I develop adaptive estimators for linear regression with serially correlated errors. The efficiency results hold even when the serial correlation structure is unknown. Simulations indicate that efficiency gains can be substantial with samples of only 50 observations. We apply the method to a study of forward exchange rates.
On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald
On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald
Douglas G. Steigerwald
With only 50 observations, the adaptive estimator produces confidence intervals that are 20 to 50 percent shorter than those produced by GLS procedures. The key feature is that the underlying error density is symmetric. Under asymmetry the interval length is shortened by a smaller amount.
A Course In Econometrics: A Review, Douglas G. Steigerwald
A Course In Econometrics: A Review, Douglas G. Steigerwald
Douglas G. Steigerwald
No abstract provided.