Estimation of the Trend Model with Autoregressive Errors
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The Department of Economic Science was founded in 1898 to teach economic theory as a truth of industrial life, and was very much concerned with applying economics to business and industry, particularly agriculture. Between 1910 and 1967 it showed the growing influence of other social studies, such as sociology, history, and political science. Today it encompasses the majors of Agricultural Business (preparing for agricultural finance and management), Business Economics, and Economics (for advanced studies in business or economics or for careers in financing, management, insurance, etc).
History
The Department of Economic Science was founded in 1898 under the Division of Industrial Science (later College of Liberal Arts and Sciences); it became co-directed by the Division of Agriculture in 1919. In 1910 it became the Department of Economics and Political Science. In 1913 it became the Department of Applied Economics and Social Science; in 1924 it became the Department of Economics, History, and Sociology; in 1931 it became the Department of Economics and Sociology. In 1967 it became the Department of Economics, and in 2007 it became co-directed by the Colleges of Agriculture and Life Sciences, Liberal Arts and Sciences, and Business.
Dates of Existence
1898–present
Historical Names
- Department of Economic Science (1898–1910)
- Department of Economics and Political Science (1910-1913)
- Department of Applied Economics and Social Science (1913–1924)
- Department of Economics, History and Sociology (1924–1931)
- Department of Economics and Sociology (1931–1967)
Related Units
- College of Agricultural and Life Sciences (parent college)
- College of Liberal Arts and Sciences (parent college)
- College of Business (parent college)
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Abstract
This paper is concerned with estimation and inference in a univariate p-th order autoregressive model with a time trend and, possibly, a unit root. Econometric interest in uni variate autoregressions is partly due to the direct benefits that are attainable from a better understanding of the time series structures of individual economic variables. In addition, developments in the study of univariate time series typically lead the way to developments in the study of multivariate time series models. There are two fundamental problems that complicate estimation and inference in autoregressive models with a possible unit root (i.e., AR/UR models). First, the ordinary least squares (OLS) estimator is biased and nonnormal in finite samples. Second, the asymptotic distribution of the OLS estimator is discontinuous at the boundary of the parameter space, being normal in the interior but nonstandard at the unit root endpoint.