Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
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|Date of creation:||1986|
|Date of revision:|
|Publication status:||Published in Journal of American Statistical Association (1988), 83(401): 111-115|
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- 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.
- 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.
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