Small-Sample Properties of Several Two-Stage Regression Methods in the Context of Auto-Correlated Errors
自相关误差下若干两阶段回归方法的小样本性质
In a linear regression model, when errors are autocorrelated, several asymptotically efficient estimators of parameters have been suggested in the literature. In this paper we study their small sample efficiency using Monte Carlo methods. While none of these estimators turns out to be distinctly superior to the others over the entire range of parameters, there is a definite gain in efficiency to be had from using some two-stage procedure in the presence of moderate high…