Summary
Consider a simple linear regression in time series data where the regressor variable at the same time follows a trend and is affected with errors. Various estimators of the slope and the intercept of the regression line can be constructed. Their small sample properties are investigated by Monte-Carlo techniques and the results are compared with approximations which have been derived in an earlier paper by analytic methods. Both approaches seem to agree rather well, at least when the error variance is not too large.
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© 1987 Springer-Verlag Berlin Heidelberg
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Schneeweiß, H., Witschel, H. (1987). Small Sample Properties of Estimators in a Linear Relationship with Trend — A Monte-Carlo Study. In: Opitz, O., Rauhut, B. (eds) Ökonomie und Mathematik. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-72672-9_33
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DOI: https://doi.org/10.1007/978-3-642-72672-9_33
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