Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

DOI10.1016/S0165-1765(98)00126-8zbMath0910.90068OpenAlexW2009755496MaRDI QIDQ1274707

Uwe Hassler, Walter Kramer

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00126-8

zbMATH Keywords

efficiencyleast squaresfractional integration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (4)

OLS-BASED ASYMPTOTIC INFERENCE IN LINEAR REGRESSION MODELS WITH TRENDING REGRESSORS AND AR(p)-DISTURBANCES ⋮ Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors ⋮ On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing ⋮ Asymptotic efficiency of the OLSE for polynomial regression models with spatially correlated errors

Cites Work

• Unnamed Item
• The sample autocorrelation function of \(I(1)\) processes
• Sample autocorrelations of nonstationary fractionally integrated series
• Long memory processes and fractional integration in econometrics
• Least Squares Regression When the Independent Variable Follows an ARIMA Process
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
• Efficiency of Least-Squares Estimation of Linear Trend when Residuals Are Autocorrelated
• The frisch-waugh theorem and generalized least squares
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

This page was built for publication: Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated