THE EFFICIENCY OF THE SAMPLE-MEAN IN A LINEAR-REGRESSION MODEL WHEN ERRORS FOLLOW A FIRST-ORDER MOVING AVERAGE PROCESS

Authors
JESKE R BUTEFISCH T SONG SH
Citation
R. Jeske et al., THE EFFICIENCY OF THE SAMPLE-MEAN IN A LINEAR-REGRESSION MODEL WHEN ERRORS FOLLOW A FIRST-ORDER MOVING AVERAGE PROCESS, Economics letters, 52(3), 1996, pp. 235-240
Citations number
10
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
52
Issue
3
Year of publication
1996
Pages
235 - 240
Database
ISI
SICI code
0165-1765(1996)52:3<235:TEOTSI>2.0.ZU;2-N
Abstract
In this paper a Linear regression model is considered with the sample mean to be estimated. Errors are assumed to follow a MA(1) process. We derive the efficiency function for the OLS estimator relative to the best linear unbiased estimator (Aitken) for finite sample size. In the case of positive correlation among the errors a greatest lower bound for the efficiency is established.