An examination of two-step estimators for models with lagged dependent variables and autocorrelated errors

Estimation of Parameters in Time-Series Regression Models

1960 • 480 citations

A Maximum Likelihood Procedure for Regression with Autocorrelated Errors

1978 • 451 citations

Efficient Estimation with A Priori Information.

1974 • 228 citations

Distributed Lags: Problems of Estimation and Formulation

1983 • 219 citations

An efficient two-step estimator for the dynamic adjustment model with autoregressive errors

1974 • 217 citations

Statistical Methods of Econometrics.

1967 • 202 citations

Statistical Methods of Econometrics

1967 • 158 citations

Small-Sample Properties of Several Two-Stage Regression Methods in the Context of Auto-Correlated Errors

1969 • 157 citations

Lagged Dependent Variables and Serially Correlated Errors: A Reappraisal of Three-Pass Least Squares

1967 • 123 citations

Generalized Least Squares with an Estimated Variance Covariance Matrix

1971 • 93 citations

Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares

1974 • 85 citations

On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models

1979 • 62 citations

Small-Sample Properties of Several Two-Stage Regression Methods in the Context of Auto-Correlated Errors

1969 • 45 citations

Simulating the Small-Sample Properties of Econometric Estimators

1972 • 38 citations

The Efficiency of the Two-Step Estimator

1972 • 36 citations

A Comparative Monte Carlo Study of the Properties of Econometric Estimators

1975 • 36 citations

Simulating the Small-Sample Properties of Econometric Estimators

1972 • 34 citations

A Note on the Relative Efficiency of the Cochrane-Orcutt and OLS Estimators when the Autocorrelation Process has a Finite Past

1984 • 1 citations