The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Apr, 1954, Volume 22, Issue 2
https://doi.org/0012-9682(195404)22:2<218:AEOADI>2.0.CO;2-6
p. 218-227
John Gurland
In linear regression models in which the disturbances are autocorrelated, it is often assumed that these are given by a Markov process. This article investigates the loss of efficiency of estimators of the regression parameters when there are certain types of specification bias concerning the disturbances. Specifically, it points out that the loss of efficiency can be serious if the initial conditions of the process which are assumed to be true are in fact not true. In particular, if the process is incorrectly assumed to be stationary, then although the estimation procedure which is presumed to yield the best linear unbiased estimators will produce unbiased estimators, their joint efficiency may nevertheless be close to zero.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
