About: Hildreth–Lu estimation

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Hildreth–Lu estimation, named for Clifford Hildreth and , is a method for adjusting a linear model in response to the presence of serial correlation in the error term. It is an iterative procedure related to the Cochrane–Orcutt estimation. The idea is to repeatedly apply ordinary least squares to for different values of between −1 and 1. From all these auxiliary regressions, one selects the pair (α, β) that yields the smallest residual sum of squares.

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  • Hildreth–Lu estimation, named for Clifford Hildreth and , is a method for adjusting a linear model in response to the presence of serial correlation in the error term. It is an iterative procedure related to the Cochrane–Orcutt estimation. The idea is to repeatedly apply ordinary least squares to for different values of between −1 and 1. From all these auxiliary regressions, one selects the pair (α, β) that yields the smallest residual sum of squares. (en)
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  • Hildreth–Lu estimation, named for Clifford Hildreth and , is a method for adjusting a linear model in response to the presence of serial correlation in the error term. It is an iterative procedure related to the Cochrane–Orcutt estimation. The idea is to repeatedly apply ordinary least squares to for different values of between −1 and 1. From all these auxiliary regressions, one selects the pair (α, β) that yields the smallest residual sum of squares. (en)
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  • Hildreth–Lu estimation (en)
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