Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 802.
Length: 20 pages
Date of creation: 1986
Date of revision:
Publication status: Published in Journal of American Statistical Association (1988), 83(401): 111-115
Note: CFP 703.
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Phone: (203) 432-3702
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Phillips, P C B & Durlauf, S N, 1986.
"Multiple Time Series Regression with Integrated Processes,"
Review of Economic Studies,
Wiley Blackwell, vol. 53(4), pages 473-95, August.
- Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
- Luati, Alessandra & Proietti, Tommaso, 2008.
"On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing,"
8910, University Library of Munich, Germany.
- 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, vol. 63(4), pages 851-871, August.
- Peter C.B. Phillips & Joon Y. Park, 1986.
"Statistical Inference in Regressions with Integrated Processes: Part 1,"
Cowles Foundation Discussion Papers
811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
- Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
- James H. Stock & Mark W. Watson, 1989. "A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems," NBER Technical Working Papers 0083, National Bureau of Economic Research, Inc.
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