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Hildreth–Lu estimation
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Hildreth–Lu estimation : ウィキペディア英語版
Hildreth–Lu estimation
Hildreth–Lu estimation, named for Clifford Hildreth and John Y. Lu, is a method adjust a linear model to serial correlation in the error term. It is an iterative procedure related to the Cochrane–Orcutt estimation.
The idea is to repeatedly apply least squares to:
:y_t - \rho y_ = \alpha(1-\rho)+\beta(X_t - \rho X_) + e_t. \,
for different values of \rho between −1 and 1. From all these auxiliary regressions, one selects the one that yields the smallest residual sum of squares.
== References ==


抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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