A comparison of four estimators of a first order autoregressive process
Econometricans must choose between many methods for estimating Rho in a first order autoregressive process. This thesis examines the performance of four estimators in a Monte Carlo situation. The methods examined are Durbin-Watson, Beach-MacKinnon, Theil-Nagar and Prais-Winsten. The autocorrelation...
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| Language: | en_US |
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2012
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| Online Access: | http://hdl.handle.net/10945/21718 |