Autocorrelation estimation and inference with small samples
Bibliographic Data
| ID | 16869264 |
|---|---|
| Authors | Bradley E Huitema (0000-0002-7803-4249, Western Michigan University), Joseph W McKean (0000-0003-1778-5564) |
| Year | 1991 |
| Volume | 110 |
| Issue | 2 |
| Pages | 291-304 |
| Publication date | 1991-09-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Psychological Bulletin (JOURNAL) |
| Journal identifiers | ISSN: 0033-2909 • E-ISSN: 1939-1455 |
| Publisher | American Psychological Association (APA) (PUBLISHER) |
| DOI | 10.1037/0033-2909.110.2.291 |
| OpenAlex | W2006677699 |
| Language | EN |
| Citations received | 12 |
| References cited | 2 |
The small sample properties of 6 autocorrelation estimators were investigated in an extensive Monte Carlo study. It was demonstrated that conventional estimators yield problems of estimation and inference in the form of(a) inconsistencies between theoretical and empirical expectations, (b) inconsistencies between theoretical and empirical error variances, and (c) dramatic differences between nominal and empirical Type I errors
Autocorrelation · Econometrics · Economics · Estimation · Inference · Statistical inference · Statistics · Artificial Intelligence · Computer Science · Economic and Environmental Valuation · Forecasting Techniques and Applications · Mathematics · Psychology
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| Citations per year | 0.38 |
|---|---|
| Citation span | 1994 - 2021 (28) |
| Highly cited | No |