The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances

This paper investigates the phenomenon of covariance matrix underestimation leading to possibly misleading inference which can arise from a potential pitfall in approximate GLS estimation of the regression model with ARMA disturbances.

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Year of publication:	1998
Authors:	Choudhury, Askar ; Power, Simon
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 5.1998, 7, p. 469-472
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195780