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A NEW APPROXIMATE GLS ESTIMATOR FOR THE REGRESSION MODEL WITH MA(1) DISTURBANCES
Author(s) -
Choudhury Askar H.,
Chaudhury Mohammed M.,
Power Simon
Publication year - 1987
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/j.1467-8586.1987.tb00238.x
Subject(s) - estimator , regression , econometrics , statistics , mathematics , regression analysis
This paper introduces a new approximate GLS estimator for the regression model with MA(1) disturbances, which outperforms both the Balestra (1980) and the Park and Heikes (1983) approximations and which is almost as efficient as the exact GLS estimator.