Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
type: Item
instance of: scholarly article
title: Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
zbMATH Open document ID: 0910.90068
DOI: 10.1016/S0165-1765(98)00126-8
author: Uwe Hassler
author: Walter Krämer
published in: Economics Letters
publication date: 1999-01-12T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1238569
zbMATH Keywords: least squares
zbMATH Keywords: fractional integration
zbMATH Keywords: efficiency
MaRDI profile type: Publication
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cites work: Note on Estimating Linear Trend when Residuals are Autocorrelated
cites work: Least Squares Regression When the Independent Variable Follows an ARIMA Process
cites work: Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
full work available at URL: s0165-1765(98)00126-8
OpenAlex ID: W2009755496
description: scientific article; zbMATH DE number 1238569