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Statistical Theory

1992

Time series regression

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Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald Dec 1991

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.

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