Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
AbstractWe 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 InfoPaper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 1997,01.
Date of creation: 1997
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Other versions of this item:
- Kramer, Walter & Hassler, Uwe, 1998. "Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated," Economics Letters, Elsevier, vol. 60(3), pages 285-290, September.
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- Chipman, John S, 1979. "Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 47(1), pages 115-28, January.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
- Kramer, Walter, 1982. "Note on Estimating Linear Trend When Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 50(4), pages 1065-67, July.
- 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, vol. 77(1), pages 75-82, January.
- 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.
- Shin, Dong Wan & Song, Seuck Heun, 2000. "Asymptotic efficiency of the OLSE for polynomial regression models with spatially correlated errors," Statistics & Probability Letters, Elsevier, vol. 47(1), pages 1-10, March.
- Yoshimasa Uematsu, 2011. "Asymptotic Efficiency of the OLS Estimator with Singular Limiting Sample Moment Matrices," Global COE Hi-Stat Discussion Paper Series gd11-208, Institute of Economic Research, Hitotsubashi University.
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