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
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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