Kleiber, Christian. (2001) Finite sample efficiency of OLS in linear regression models with long-memory disturbances. Economics letters, Vol. 72. pp. 131-136.
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Official URL: http://edoc.unibas.ch/dok/A5252916
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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 and Taqqu [Journal of Time Series Analysis 9 (1988) 191–200] and gives a further example of the ‘high-correlation asymptotics’ of Krämer and Baltagi [Economics Letters 50 (1996).
| Faculties and Departments: | 06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Ökonometrie und Statistik (Kleiber) |
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| UniBasel Contributors: | Kleiber, Christian |
| Item Type: | Article, refereed |
| Article Subtype: | Research Article |
| Publisher: | North-Holland |
| ISSN: | 0165-1765 |
| Note: | Publication type according to Uni Basel Research Database: Journal article |
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| Identification Number: | |
| Last Modified: | 22 Mar 2012 14:28 |
| Deposited On: | 22 Mar 2012 14:02 |
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