Authors: Kleiber, Christian
Title: Finite sample efficiency of OLS in linear regression models with long-memory disturbances
Language (ISO): en
Abstract: OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region, provided the model contains a constant term. This generalizes previous results of Samarov & Taqqu (Journal of Time Series Analysis 9, 1988, pp. 191-200) to the regression case and gives a further example of the `high-correlation asymptotics' of Kr?amer & Baltagi (Economics Letters 50, 1996, pp. 13-17).
Subject Headings: Efficiency of OLS
linear regression
long memory
URI: http://hdl.handle.net/2003/5039
http://dx.doi.org/10.17877/DE290R-14544
Issue Date: 2000
Provenance: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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