The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances
AbstractThis paper investigates the phenomenon of covariance matrix underestimation leading to possibly misleading inference which can arise from a potential pitfall in approximate GLS estimation of the regression model with ARMA disturbances.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 5 (1998)
Issue (Month): 7 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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