Hildreth–Lu estimation
Hildreth–Lu estimation, named for Clifford Hildreth and John Y. Lu,{{cite journal |last=Hildreth |first= C. |last2=Lu |first2=J. Y. |title=Demand Relations with Autocorrelated Disturbances |journal=Technical Bulletin |volume=276 |publisher=Michigan State University Agricultural Experiment Station |date=November 1960 }} is a method for adjusting a linear model in response to the presence of serial correlation in the error term. It is an iterative procedure related to the Cochrane–Orcutt estimation.
The idea is to repeatedly apply ordinary least squares to
:
for different values of between −1 and 1. From all these auxiliary regressions, one selects the pair (α, β) that yields the smallest residual sum of squares.
See also
References
{{Reflist}}
Further reading
- {{cite book |last=Davidson |first=Russell |last2=MacKinnon |first2=James G. |author-link2=James G. MacKinnon |title=Estimation and Inference in Econometrics |location=New York |publisher=Oxford University Press |year=1993 |isbn=0-19-506011-3 |pages=331–341 }}
- {{cite book |last=Kmenta |first=Jan |author-link=Jan Kmenta |pages=[https://archive.org/details/elementsofeconom0003kmen/page/298 298–317] |title=Elements of Econometrics |location=New York |publisher=Macmillan |year=1986 |edition=Second |isbn=0-02-365070-2 |url-access=registration |url=https://archive.org/details/elementsofeconom0003kmen/page/298 }}
- {{cite book |last=Maddala |first=G. S. |author-link=G. S. Maddala |first2=Kajal |last2=Lahiri |title=Introduction to Econometrics |location=Chichester |publisher=Wiley |edition=Fourth |year=2009 |isbn=978-0-470-01512-4 |pages=246–250 }}
- {{cite book |last=Pindyck |first=Robert S. |author-link=Robert Pindyck |last2=Rubinfeld |first2=Daniel L. |title=Econometric Models and Economic Forecasts |location=Boston |publisher=McGraw-Hill |edition=Fourth |year=1998 |isbn=0-07-118831-2 |pages=159–164 }}
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