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Generalized minimum distance estimators of a linear model with correlated errors
Authors:J. M. Vilar Fernández  W. González Manteiga
Affiliation:1. Faculty of Informatics, University of Coru?a, Campus de Elvi?a, 15071, Coru?a, Spain
2. Faculty of Mathematics, University of Santiago, 15706, Santiago, Spain
Abstract:Rp of a linear regression model of the type Y = Xθ + ɛ, where X is the design matrix, Y the vector of the response variable and ɛ the random error vector that follows an AR(1) correlation structure. These estimators are asymptotically analyzed, by proving their strong consistency, asymptotic normality and asymptotic efficiency. In a simulation study, a better behaviour of the Mean Squared Error of the proposed estimator with respect to that of the generalized least squares estimators is observed. Received: November 16, 1998; revised version: May 10, 2000
Keywords:and Phrases: minimum distance estimators   linear regression models   nonparametric estimation   AR(1) correlation structure.
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