对误差序列相关模型参数估计方法的探讨

被引：4

作者：

叶宗裕

机构：

[1] 浙江师范大学工商管理学院

来源：

统计研究 | 2006年 / 12期

关键词：

广义最小二乘; 广义差分; 最优估计; 有效性;

D O I：

10.19343/j.cnki.11-1302/c.2006.12.012

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

This paper studies two common methods of estimating the parameters of the model of the disturbances serial correlation——generalized differences and generalized least squares,validates by simulated calculation that the efficiency of GD estimator may be far lower than OLS estimator in all probability and that the efficiency of GLS estimator may be also lower than OLS estimator due to the error of estimating serial correlation coefficient ρ,and improves the method of estimating ρ to heighten the efficiency of GLS estimator.

引用

页码：54 / 57

页数：4