Experiments with autoregressive error estimation

dc.contributor.author Ladd, George
dc.contributor.department Extension and Experiment Station Publications
dc.date 2018-02-18T14:08:54.000
dc.date.accessioned 2020-06-30T06:59:38Z
dc.date.available 2020-06-30T06:59:38Z
dc.date.embargo 2017-06-21
dc.date.issued 2017-06-21
dc.description.abstract <p>Autocorrelated errors are recognized as potentially troublesome in regression analysis. Because of the computational problems encountered, however, few economists have estimated equations under the assumption of autocorrelated errors. Recently, relatively economical procedures have been developed for estimating equations containing autocorrelated errors. In this study, one of these procedures-autoregressive least squares (A.L.S.) -is applied to equations describing the behavior of various economic agents, by using different unit observation periods-year, quarter and month. Some of the results have been published elsewhere; some are published here. In addition to presenting some results of autoregressive error estimation, this report summarizes experience with the use of AL.S. Some equations presented here were estimated by a simultaneous equations method under the assumption of autocorrelated errors.</p> <p>The results of four different tests for autocorrelation in errors were compared: Durbin-Watson d statistic, Theil-Nagar d, Hart-von Neumann ratio and A.L.S. Essentially, the Theil-Nagar d test classes as significant those values of d that are significant or inconclusive in the Durbin-Watson test. The Theil-Nagard yielded evidence of autocorrelated errors most frequently; A.L.S., second most frequently; Hart-von Neumann ratio, third most frequently; and Durbin-Watson test, least frequently. The proportions of the equations in which each test provided significant evidence of autocorrelated errors are: Theil-Nagard, 66 percent; autoregressive least squares, 51 percent; Hart-von Neumann ratio, 37 percent; Durbin-Watson test, 26 percent.</p>
dc.identifier archive/lib.dr.iastate.edu/researchbulletin/vol35/iss533/1/
dc.identifier.articleid 1547
dc.identifier.contextkey 10331886
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath researchbulletin/vol35/iss533/1
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/62872
dc.source.bitstream archive/lib.dr.iastate.edu/researchbulletin/vol35/iss533/1/Agricultural_Research_Bulletin_v035_b533.pdf|||Fri Jan 14 17:43:38 UTC 2022
dc.subject.disciplines Agriculture
dc.subject.disciplines Economics
dc.subject.disciplines Sociology
dc.title Experiments with autoregressive error estimation
dc.type article
dc.type.genre article
dspace.entity.type Publication
relation.isJournalIssueOfPublication 61ef525a-9862-4a5a-a6ff-00a11ea8be51
relation.isOrgUnitOfPublication 302bd0e8-f82f-406a-88b5-c8f956b5f77b
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