Linear Models with Correlated Disturbances

In each chapter of this volume some specific topics in the econometric analysis of time series data are studied. All topics have in common the statistical inference in linear models with correlated disturbances. The main aim of the study is to give a survey of new and old estimation techniques for regression models with disturbances that follow an autoregressive—moving average process. In the final chapter also several test strategies for discriminating between various types of auorrelation...