Department of Economics
The estimation of coefficients in a simple regression model with autocorrelated errors is considered. The underlying distribution is assumed to be symmetric, one of Student's t family for illustration. Closed form estimators are obtained and shown to be remarkably efficient and robust. Skew distributions will be considered in a future paper.
Autoregression, nonnormality, maximum likelihood, modified maximum likelihood, least squares, robustness, Student's t
Source Publication Title
Communications in Statistics - Theory and Methods
Taylor & Francis
Link to Publisher's Edition
Tiku, M., Wong, W., & Bian, G. (2007). Estimating parameters in autoregressive models in non-normal situations: Symmetric innovations. Communications in Statistics - Theory and Methods, 28 (2). https://doi.org/10.1080/03610929908832300