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

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  • Kramer, Walter
  • Hassler, Uwe

Abstract

We 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. --

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 60 (1998)
Issue (Month): 3 (September)
Pages: 285-290

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Handle: RePEc:eee:ecolet:v:60:y:1998:i:3:p:285-290

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  1. Kramer, Walter, 1982. "Note on Estimating Linear Trend When Residuals are Autocorrelated," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1065-67, July.
  2. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(1), pages 37-45, January.
  3. Chipman, John S, 1979. "Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated," Econometrica, Econometric Society, Econometric Society, vol. 47(1), pages 115-28, January.
  4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
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Cited by:
  1. Alessandra Luati & Tommaso Proietti, 2011. "On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 63(4), pages 851-871, August.
  2. Yoshimasa Uematsu, 2011. "Asymptotic Efficiency of the OLS Estimator with Singular Limiting Sample Moment Matrices," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd11-208, Institute of Economic Research, Hitotsubashi University.
  3. Shin, Dong Wan & Joon Kim, Han & Jhee, Won-Chul, 2007. "Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors," Statistics & Probability Letters, Elsevier, Elsevier, vol. 77(1), pages 75-82, January.
  4. Shin, Dong Wan & Song, Seuck Heun, 2000. "Asymptotic efficiency of the OLSE for polynomial regression models with spatially correlated errors," Statistics & Probability Letters, Elsevier, Elsevier, vol. 47(1), pages 1-10, March.

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