A comparison of four estimators of a first order autoregressive process

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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Bibliographic Details
Main Author:	Horn, Joseph A.
Other Authors:	Boger, Dan C.
Language:	en_US
Published:	2012
Online Access:	http://hdl.handle.net/10945/21718

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