Journal of the American Statistical Association · 1976 · 150 citations · 16 references
Social SciencesBusiness EconomicsEconometricsTime Series AnalysisAutocorrelation AnalysisEstimation TheoryTime Series EconometricsTime Series ModelingAutoregressive ModelsAutoregressive ProcessesNonlinear EstimationNonlinear RegressionNonlinear Regression ModelsSample EfficiencyVariance-covariance Matrix EstimationVariance-covariance Structure
Abstract An estimator of the parameters of a nonlinear time series regression is obtained by using an autoregressive assumption to approximate the variance-covariance matrix of the disturbances. Considerations are set forth which suggest that this estimator will have better small sample efficiency than circular estimators. Such is the case for examples considered in a Monte Carlo study.
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Time Series Analysis: Forecasting and Control
Michael D. Geurts, George E. P. Box, Gwilym M. Jenkins · Journal of Marketing Research · 1977 · 19.3K citations
Computing, Data Science, Forecasting +11
Introduction to Statistical Time Series
James T. McClave, Wayne A. Fuller · Technometrics · 1978 · 4.3K citations