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Relative efficiency of absolute data and first differences in regression analysis : the case of autocorrelated disturbances

Abstract:

In two recent articles, Geary and Tillman have compared the efficiency of using data in absolute form or in the form of first differences in regression analysis of economic time series. Both authors take a highly unfavourable view of the widely-used method of first differences: Geary concludes that this method will usually be highly inefficient and suggests instead the inclusion of a time trend along with the independent variable X in its original form. Tillman extends the discussion to the c...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Publisher's version

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Institution:
University of Oxford
Research group:
Industrial Economics
Oxford college:
Merton College
Department:
Social Sciences Division - Economics
Role:
Author
Publisher:
Economic & Social Research Institute Publisher's website
Journal:
Economic and Social Review Journal website
Volume:
5
Issue:
1
Pages:
47-58
Publication date:
1973-10-05
ISSN:
0012-9984
URN:
uuid:b6832010-9461-423f-8547-abce90f9cfaa
Local pid:
ora:9968
Language:
English
Keywords:
Subjects:

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