Performances of estimators of linear model with auto-correlated error terms when the independent variable is normal

Abstract

A Monte Carlo Study of the small sampling properties of five estimators of a linear model with Autocorrelated error terms is discussed. The independent variable was specified as standard normal data. The estimators of the slop coefficients β with the help of Ordinary Least Squares (OLS), increased with increased autocorrelation especially when T is small. On the other hand, the same slope coefficients β , under Generalized Least Squares (GLS) decreased with increased autocorrelation when the sample size T is small.

Journal of the Nigerian Association of Mathematical Physics Vol. 9 2005: pp. 379-384