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Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances

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  • Krämer, Walter
  • Mármol, Francesc

Abstract

We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR(p)-9isturbances and a wide range of trending regressors, and that OLS-based statistical inference is still meaningful after proper adjustment of the teststatistics.

Suggested Citation

  • Krämer, Walter & Mármol, Francesc, 1999. "Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances," DES - Working Papers. Statistics and Econometrics. WS 6300, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:6300
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    References listed on IDEAS

    as
    1. Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
    2. Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(4), pages 489-500, December.
    3. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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    Cited by:

    1. Dedi Rosadi & Shelton Peiris, 2014. "Second-order least-squares estimation for regression models with autocorrelated errors," Computational Statistics, Springer, vol. 29(5), pages 931-943, October.

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