The primary result of a regression analysis is a set of estimates of the regression coefficients α, β 1,..., β k. These estimates are made by finding values for the coefficients that make the average ...

Figure 8.4 also shows the estimates of the regression coefficients with the standard errors recomputed on the assumption that the autoregressive parameter estimates equal the true values. Predicted ...

In particular, simulating an AR(1) model for the noise term, they found that the standard errors calculated using GLS with an estimated autoregressive parameter underestimated the true standard errors ...