In this book, an attempt has been made by proposing some new
inferential procedures for linear regression models with different
autoregressive schemes for disturbances. These estimation
procedures have used iterative methods based on studentized
residuals. It proposes some new inferential methods for linear
statistical models with first, second and fourth order
autoregressive disturbances. A new estimated iterative restricted
GLS estimator has been derived for linear regression model with
first order autoregressive disturbances. Later it has been applied
for testing the general linear hypothesis. The linear statistical
models have been specified with AR (1), AR (2) and AR (4)
disturbances. The EGLS methods of estimation have been developed
with particular AR (2) and AR (4) disturbances by using Iterative
procedures. Here, Studentized residuals have been used in the place
of OLS residuals. The parametric tests for particular second order
and fourth order autocorrelations also have been discussed in this
book
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