## Convenient methods for estimation of linear regression models with MA(1) errors |

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Absolute t-statistics absolute value aet_1 ARMA(l.l Canada coefficients columns computationally convenient consistent estimate contain lagged dependent CONVENIENT METHODS Department of Economics econometricians Economics Queen's University Efficiency Estimates efficient than ML equation system error process error terms ESTIMATION OF LINEAR feasible GLS estimates full maximum likelihood given GNP GNP and unemployment insignificant invertibility region labour force lagged dependent variables likelihood ratio tests linear regression models log-likelihood function 11 MacKinnon Department maximum likelihood estimates method of moments ML estimator models with MA(1 moments estimator OLS regressions OLS t-statistics Ontario James G ordinary least squares outperforms several rivals Pagan and Nicholls parameter parentheses Trend term percent level probability of Type procedure Queen's University Discussion regression packages regressor sample period sampling experiment serial correlation serial independence simple squared residuals standard deviation sum of squared t-1 to period technique Type I error variance Western Ontario James yields full maximum