Pitfalls in the Application of the COTE in a Linear Regression Model with Seasonal Data

  • Seuck Heun Song (Department of Statistics, Duksung Women's University, Seoul 132-174, Korea) ;
  • YouSung Park (Department of Statistics, Korea University, Seoul, 136-701, Korea)
  • Published : 1997.08.01


When the disturbances in the linear repression medel are generated by a seasonal autoregressive scheme the Cochrane Orcutt transformation estimator (COTE) is a well known alternative to Generalized Least Squares estimator (GLSE). In this paper it is analyzed in which situation the Ordinary Least Squares estimator (OLSE) is always better than COTE for positive autocorrelation in terms of efficiency which is here defined as the ratio of the total variances.



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