Linear contrasts in one-way classication AR(1) model with gamma innovations
In this study, the explicit estimators of the model parameters in oneway classification AR(1) model with gamma innovations are derived
by using modified maximum likelihood (MML) methodology. We also
propose a new test statistic for testing linear contrasts. Monte Carlo
simulation results show that the MML estimators have higher efficiencies than the traditional least squares (LS) estimators and the proposed
test has much better power and robustness properties than the normaltheory test.