Adaptive Estimation in TimeSeries Regression ModelsJournal of Econometrics (1992)
AbstractI 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.
- exchange rates,
- time series regression
Citation InformationDouglas G Steigerwald. "Adaptive Estimation in TimeSeries Regression Models" Journal of Econometrics Vol. 54 Iss. 2 (1992)
Available at: http://works.bepress.com/douglas_steigerwald/15/