OLS or GLS in the presence of specification error? An expected loss approach
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Publication:1822188
DOI10.1016/0304-4076(87)90033-9zbMath0617.62116OpenAlexW1485112296MaRDI QIDQ1822188
Publication date: 1987
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(87)90033-9
regression analysisheteroscedasticityloss functionautocorrelationOLS estimatorspecification errortime series modelsGLS estimatorOmitted variablescross-section models
Related Items (3)
OPTIMALITY OF GLS FOR ONE-STEP-AHEAD FORECASTING WITH REGARIMA AND RELATED MODELS WHEN THE REGRESSION IS MISSPECIFIED ⋮ Using least squares to generate forecasts in regressions with serial correlation ⋮ OLS or GLS in the presence of specification error? An expected loss approach
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- OLS or GLS in the presence of specification error? An expected loss approach
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- Specification Tests in Econometrics
- Errors in Variables and Serially Correlated Disturbances in Distributed Lag Models
- The Role of Approximate Prior Restrictions in Distributed Lag Estimation
- Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
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