Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances |
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| Authors: | Roland Jeske Seuck Heun Song |
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| Institution: | (1) Department of Economics, Konstanz University, 78476 Konstanz, Germany;(2) Department of Statistics, Korea University, 136-701 Seoul, Korea |
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| Abstract: | The efficiency of OLSE relative to GLSE and COTE is studied in the case in which regressors are splines used to explain seasonal
influences. It is thereby shown that efficiency measured as the ratio of total or generalized variances is independent of
the actual design of splines. Furthermore, for positive autocorrelation, COTE is always worse than OLSE. |
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| Keywords: | Autocorrelation Seasonal data Efficiency of OLSE COTE |
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