Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

Hassler, UweKrämer, Walter2004-12-062004-12-061997http://hdl.handle.net/2003/481910.17877/DE290R-6721We 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.enUniversitätsbibliothek Dortmund310Limiting efficiency of OLS vs. GLS when regressors are fractionally integratedreport