Explicit formulas to determine the e¢ ciency of ols in the presence of first order autoregressive disturbances
Author
Source
IUG Journal of Natural Studies
Issue
Vol. 14, Issue 1 (31 Jan. 2006), pp.1-19, 19 p.
Publisher
The Islamic University-Gaza Deanship of Research and Graduate Affairs
Publication Date
2006-01-31
Country of Publication
Palestine (Gaza Strip)
No. of Pages
19
Main Subjects
Topics
Abstract AR
في هذا البحث تم إثبات أن الفاعلية النسبية لتباين مقدر GLS بالنسبة لتباين مقدر OLS لا تتغير في حالة تغيير مقياس أو إزاحة تصميم المتجهات.
و كذلك تم إثبات صيغ رياضية محددة لحساب فعالية مقدر GLS بالنسبة لمقدر OLS في حالة وجود أخطاء تتبع (1)AR لبعض تصميم المتجهات المهمة مثال التصميمات الخطية و التربيعية.
Abstract EN
In problems concerning time series, it is often the case that the distur- bances are, in fact, correlated.
It is known that the ordinary least squares (GLS) may not be optimal in this context.
We have proved that the rela- tive efficiency of the variance of the generalized least squares (GLS) to that of OLS is invariant to scaling and shifting of the design vectors.
We have derived explicit formulas for the relative efficiencies of the GLS estimator both linear and quadratic design vectors in the presence of AR (1) distur-bances with and without an intercept term included in the design and use these formulas to show some asymptotic properties of the estimators.
American Psychological Association (APA)
Safi, Samir Khalid Husayn. 2006. Explicit formulas to determine the e¢ ciency of ols in the presence of first order autoregressive disturbances. IUG Journal of Natural Studies،Vol. 14, no. 1, pp.1-19.
https://search.emarefa.net/detail/BIM-11670
Modern Language Association (MLA)
Safi, Samir Khalid Husayn. Explicit formulas to determine the e¢ ciency of ols in the presence of first order autoregressive disturbances. IUG Journal of Natural Studies Vol. 14, no. 1 (Jan. 2006), pp.1-19.
https://search.emarefa.net/detail/BIM-11670
American Medical Association (AMA)
Safi, Samir Khalid Husayn. Explicit formulas to determine the e¢ ciency of ols in the presence of first order autoregressive disturbances. IUG Journal of Natural Studies. 2006. Vol. 14, no. 1, pp.1-19.
https://search.emarefa.net/detail/BIM-11670
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 18-19
Record ID
BIM-11670