Performances Of Estimators Of Linear Models With Autocorrelated Error Terms When The Independent Variable Is Autoregressive

Abstract

The performances of five estimators of linear models with Autocorrelated error terms are compared when the independent variable is autoregressive. The results reveal that the properties of the estimators when the sample size is finite is quite similar to the properties of the estimators when the sample size is infinite although much also depends on the error terms and the individual coefficient being estimated.

KEY WORDS: Autocorrelated, Error terms, Independent variable, model.

Global Journal of Pure and Applied Sciences Vol.11(1) 2005: 131-135