Revisiting simple linear regression with autocorrelated errors

被引：50

作者：

Lee, J ^{[1
]}

Lund, R ^{[1
]}

机构：

[1] Univ Georgia, Dept Stat, Athens, GA 30602 USA

来源：

BIOMETRIKA | 2004年 / 91卷 / 01期

基金：

美国国家科学基金会;

关键词：

generalised least squares; ordinary least squares; simple linear regression; time series;

D O I：

10.1093/biomet/91.1.240

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This paper studies properties of ordinary and generalised least squares estimators in a simple linear regression with stationary autocorrelated errors. Explicit expressions for the variances of the regression parameter estimators are derived for some common time series autocorrelation structures, including a first-order autoregression and general moving averages. Applications of the results include confidence intervals and an example where the variance of the trend slope estimator does not increase with increasing autocorrelation.

引用

页码：240 / 245

页数：6

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