Authors: | Hassler, Uwe Krämer, Walter |
Title: | Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated |
Language (ISO): | en |
Abstract: | We show that previous results on the asymptotic efficiency of OLS versus GLS in the context of trending data carry over to regressors of the fractionally integrated type. |
URI: | http://hdl.handle.net/2003/4819 http://dx.doi.org/10.17877/DE290R-6721 |
Issue Date: | 1997 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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97_01.ps | 73.51 kB | Postscript | View/Open | |
97_1.pdf | DNB | 111.66 kB | Adobe PDF | View/Open |
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