Cover Image

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

We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR (p) disturbances and a wide range of trending regressors_ and that OLS based statistical inference is still meaningful after proper adjustment of the test statistics.
Year of publication:
1998
Authors: Krämer, Walter ; Marmol, Francesc
Institutions: Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 1998,43
Source:
Persistent link: https://www.econbiz.de/10010982384
Similar items by person