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.
Communications in Statistics - Theory and Methods
Taylor & Francis
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Autoregression, nonnormality, maximum likelihood, modified maximum likelihood, least squares, robustness, Student's t
Tiku, Moti L, Wing Keung Wong, and Guorui Bian. "Estimating parameters in autoregressive models in non-normal situations: symmetric innovations." Communications in Statistics - Theory and Methods 28.2 (2007): 315-341.