Finite sample efficiency of OLS in linear regression models with long-memory disturbances

OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region_ provided the model contains a constant term. This generalizes previous results of Samarov Taqqu (Journal of Time Series Analysis 9 1998 pp, 191 – 200) to the regression case and gives a further example of the ‘high_correlation asymptotics of Krämer & Baltagi (Economics Letters 50, 1996, pp. 13 – 17).

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Year of publication:	2000
Authors:	Kleiber, Christian
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Efficiency of OLS \| linear regression \| long memory

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2000,34
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010982356