The methods of Cochrane and Orcutt orr Hildreth and Lu to correct linear regressions for first-order autoregression in the disturbances, as usually implemented, underestimate the standard errors of the regression coefficients whenever a lagged dependent variable is included. A convenient transformation is derived from the information matrix to remove this bias. The asymptotic standard error of the estimated serial coefficient is a useful coproduct of the analysis.
MLA
Cooper, J. Phillip. “Asymptotic Covariance Matrix of Procedures for Linear Regression in the Presence of First-Order Autoregressive Disturbances.” Econometrica, vol. 40, .no 2, Econometric Society, 1972, pp. 305-310, https://www.jstor.org/stable/1909408
Chicago
Cooper, J. Phillip. “Asymptotic Covariance Matrix of Procedures for Linear Regression in the Presence of First-Order Autoregressive Disturbances.” Econometrica, 40, .no 2, (Econometric Society: 1972), 305-310. https://www.jstor.org/stable/1909408
APA
Cooper, J. P. (1972). Asymptotic Covariance Matrix of Procedures for Linear Regression in the Presence of First-Order Autoregressive Disturbances. Econometrica, 40(2), 305-310. https://www.jstor.org/stable/1909408
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