Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors

DOI10.1080/07474939808800424zbMath0911.62081OpenAlexW2024635382MaRDI QIDQ4224732

Hiroyuki Hisamatsu, John L. Knight, Koichi Maekawa

Publication date: 17 January 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800424

zbMATH Keywords

characteristic functioncharacteristic functionsgeneralized least squaresordinary least squaresMonte-Carlo integration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Asymptotic efficiency of the OLSE for polynomial regression models with spatially correlated errors ⋮ Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors

Cites Work

• Unnamed Item
• The distribution of the Durbin-Watson statistic in integrated and near-integrated models
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors
• Inversion Formulae for the Distribution of Ratios

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