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词条 Hildreth–Lu estimation
释义

  1. See also

  2. References

  3. Further reading

Hildreth–Lu estimation, named for Clifford Hildreth and John Y. Lu,[1] is a method for adjusting a linear model in response to the presence of serial correlation in the error term. It is an iterative procedure related to the Cochrane–Orcutt estimation.

The idea is to repeatedly apply non-linear least squares to:

for different values of between −1 and 1. From all these auxiliary regressions, one selects the one that yields the smallest residual sum of squares.

See also

  • Prais–Winsten estimation

References

1. ^{{cite journal |last=Hildreth |first= C. |last2=Lu |first2=J. Y. |title=Demand Relations with Autocorrelated Disturbances |journal=Technical Bulletin |volume=276 |publisher=Michigan State University Agricultural Experiment Station |date=November 1960 }}

Further reading

  • {{cite book |last=Davidson |first=Russell |last2=MacKinnon |first2=James G. |authorlink2=James G. MacKinnon |title=Estimation and Inference in Econometrics |location=New York |publisher=Oxford University Press |edition= |year=1993 |isbn=0-19-506011-3 |pages=331–341 }}
  • {{cite book |last=Kmenta |first=Jan |authorlink=Jan Kmenta |chapter= |pages=298–317 |title=Elements of Econometrics |location=New York |publisher=Macmillan |year=1986 |edition=Second |isbn=0-02-365070-2 }}
  • {{cite book |last=Maddala |first=G. S. |authorlink=G. S. Maddala |first2=Kajal |last2=Lahiri |title=Introduction to Econometrics |location=Chichester |publisher=Wiley |edition=Fourth |year=2009 |isbn=978-0-470-01512-4 |pages=246–250 }}
  • {{cite book |last=Pindyck |first=Robert S. |authorlink=Robert Pindyck |last2=Rubinfeld |first2=Daniel L. |title=Econometric Models and Economic Forecasts |location=Boston |publisher=McGraw-Hill |edition=Fourth |year=1998 |isbn=0-07-118831-2 |pages=159–164 }}
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2 : Autocorrelation|Regression with time series structure
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