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
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
Journal title :
Economics Letters
