OLS-based Asymptotic Inference in Linear Regression Models with Trending Regressors and AR(p)-Disturbances
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Date
1998
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Universitätsbibliothek Dortmund
Abstract
We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR(p)-disturbances and a wide range of trending regressors, and that OLS-based statistical inference is still meaningful after proper adjustment of the test-statistics.