Title of article
Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
Author/Authors
Walter Kramer، نويسنده , , Uwe Hassler، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
6
From page
285
To page
290
Abstract
We show that previous results on the asymptotic efficiency of OLS vs. GLS in the context of trending data carry over to regressors of the fractionally integrated type.
Keywords
least squares , Fractional integration , Efficiency
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434621
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