Hildreth–Lu estimation
Hildreth–Lu estimation, named for Clifford Hildreth and John Y. Lu,[1] is a method adjust a linear model to serial correlation in the error term. It is an iterative procedure related to the Cochrane–Orcutt estimation.
The idea is to repeatedly apply non-linear least squares to:
for different values of 
between −1 and 1. From all these auxiliary regressions, one selects the one that yields the smallest residual sum of squares.
References
- ↑ Hildreth, C.; Lu, J. Y. (November 1960). "Demand Relations with Autocorrelated Disturbances". Technical Bulletin (Michigan State University Agricultural Experiment Station) 276.
Further reading
- Davidson, Russell; MacKinnon, James G. (1993). Estimation and Inference in Econometrics. New York: Oxford University Press. pp. 331–341. ISBN 0-19-506011-3.
- Kmenta, Jan (1986). Elements of Econometrics (Second ed.). New York: Macmillan. pp. 298–317. ISBN 0-02-365070-2.
- Maddala, G. S.; Lahiri, Kajal (2009). Introduction to Econometrics (Fourth ed.). Chichester: Wiley. pp. 246–250. ISBN 978-0-470-01512-4.
- Pindyck, Robert S.; Rubinfeld, Daniel L. (1998). Econometric Models and Economic Forecasts (Fourth ed.). Boston: McGraw-Hill. pp. 159–164. ISBN 0-07-118831-2.
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