Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares with Trending Regressors and Stationary Autoregressive Disturbances

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Date

1997

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Universitätsbibliothek Dortmund

Abstract

This note generalizes previous results on the asymptotic equivalence of Ordinary and Generalized Least Squares estimates in Linear Regression models with trending data.

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