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CREATION
Title : Second-order least-squres estimation for regression models with autocorrelated errors
Author :

Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (1) Shelton Peiris (2)

Date : 14 2013
Keyword : Second-order least square · Asymptotic normality · Regression model · Autocorrelated errors · Ordinary least square · Generalized least square · Consistency Second-order least square · Asymptotic normality · Regression model · Autocorrelated errors · Ordinary least square · Generalized least square · Consistency
Abstract : In their recent paper, Wang and Leblanc (Ann Inst Stat Math 60:883–900, 2008) have shown that the second-order least squares estimator (SLSE) is more efficient than the ordinary least squares estimator (OLSE) when the errors are independent and identically distributed with non zero third moments. In this paper, we generalize the theory of SLSE to regression models with autocorrelated errors. Under certain regularity conditions, we establish the consistency and asymptotic normality of the proposed estimator and provide a simulation study to compare its performance with the corresponding OLSE and generalized least square estimator (GLSE). It is shown that the SLSE performs well giving relatively small standard error and bias (or the mean square error) in estimating parameters of such regression models with autocorrelated errors. Based on our study, we conjecture that for less correlated data, the standard errors of SLSE lie between those of the OLSE and GLSE which can be interpreted as adding the second moment information can improve the performance of an estimator.
Group of Knowledge : Statistik
Original Language : English
Level : Internasional
Status :
Published
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1 2014 Rosadi Peiris Compstat.pdf
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2 2014 Rosadi Peiris Compstat.pdf
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3 2014 Rosadi Peiris Compstat coresponding.pdf
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