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 |
Files in This Item:
File | Description | Size | Format | |
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2000_34.pdf | DNB | 128.5 kB | Adobe PDF | View/Open |
tr34-00.ps | 300.38 kB | Postscript | View/Open |
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