Least Squares Regression When the Independent Variable Follows an ARIMA Process

DOI10.2307/2287982zbMath0587.62168OpenAlexW4233547901MaRDI QIDQ3713446

Walter Kramer

Publication date: 1986

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2287982

zbMATH Keywords

ordinary least squaresrelative efficiencygeneralized least squares estimatesARIMA(p,1,q) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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