Finite sample efficiency of OLS in linear regression models with long-memory disturbances

DOI10.1016/S0165-1765(01)00423-2zbMath1030.62053MaRDI QIDQ5941374

Christian Kleiber

Publication date: 20 August 2001

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

zbMATH Keywords

Efficiency of OLSLong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items

Confidence intervals for long memory regressions ⋮ Efficiency of the OLS estimator in the vicinity of a spatial unit root ⋮ Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A general condition for an optimal limiting efficiency of OLS in the general linear regression model
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• A note on calculating the autocovariances of the fractionally integrated ARMA models
• Long memory processes and fractional integration in econometrics
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors

This page was built for publication: Finite sample efficiency of OLS in linear regression models with long-memory disturbances