Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
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Publication:899509
DOI10.1016/j.jeconom.2003.07.001zbMath1328.62219OpenAlexW2015882739MaRDI QIDQ899509
Publication date: 29 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.07.001
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
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Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
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