Abstract
Using the Prais-Winsten correction and adding a lagged variable provides improved estimates (smaller MSE) in least absolute value (LAV) regression when moderate to high levels of autocorrelation are present. When comparing empirical levels of significance for hypothesis tests, adding a lagged variable outperforms other approaches but has a relative high empirical level of significance.
DOI
10.22237/jmasm/1320120720
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
