On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
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- Luati, Alessandra & Proietti, Tommaso, 2008. "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper 8910, University Library of Munich, Germany.
References listed on IDEAS
- Kramer, Walter & Hassler, Uwe, 1998.
"Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated,"
Elsevier, vol. 60(3), pages 285-290, September.
- Krämer, Walter & Hassler, Uwe, 1997. "Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated," Technical Reports 1997,01, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- McAleer, Michael, 1992. "Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(200), pages 65-72, March.
- Frederick R. Macaulay, 1931. "Introduction to "The Smoothing of Time Series"," NBER Chapters,in: The Smoothing of Time Series, pages 17-30 National Bureau of Economic Research, Inc.
- Wallis, Kenneth F, 1981. "Models for X-11 and 'X-11-Forecast' Procedures for Preliminary and Revised Seasonal Adjustments," The Warwick Economics Research Paper Series (TWERPS) 198, University of Warwick, Department of Economics.
- Frederick R. Macaulay, 1931. "Appendices to "The Smoothing of Time Series"," NBER Chapters,in: The Smoothing of Time Series, pages 118-169 National Bureau of Economic Research, Inc.
- Peter C.B. Phillips & Joon Y. Park, 1986. "Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors," Cowles Foundation Discussion Papers 802, Cowles Foundation for Research in Economics, Yale University.
- Frederick R. Macaulay, 1931. "The Smoothing of Economic Time Series, Curve Fitting and Graduation," NBER Chapters,in: The Smoothing of Time Series, pages 31-42 National Bureau of Economic Research, Inc.
- Tian, Yongge & Wiens, Douglas P., 2006. "On equality and proportionality of ordinary least squares, weighted least squares and best linear unbiased estimators in the general linear model," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1265-1272, July.
- Phillips, Peter C.B., 1992. "Geometry of the Equivalence of OLS and GLS in the Linear Model," Econometric Theory, Cambridge University Press, vol. 8(01), pages 158-159, March.
More about this item
KeywordsEpanechnikov kernel; Local polynomial regression; Non-invertible moving average processes;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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