A NEW APPROXIMATE GLS ESTIMATOR FOR THE LINEAR-REGRESSION MODEL WITH ARMA(P,Q) DISTURBANCES

Authors
CHOUDHURY AH POWER S
Citation
Ah. Choudhury et S. Power, A NEW APPROXIMATE GLS ESTIMATOR FOR THE LINEAR-REGRESSION MODEL WITH ARMA(P,Q) DISTURBANCES, Economics letters, 48(2), 1995, pp. 119-127
Citations number
15
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
48
Issue
2
Year of publication
1995
Pages
119 - 127
Database
ISI
SICI code
0165-1765(1995)48:2<119:ANAGEF>2.0.ZU;2-L
Abstract
This paper introduces a new approximate GLS estimator for the linear r egression model with ARMA (p, q) disturbances, which involves a simple two-step transformation procedure and is readily implemented using an y basic econometrics package.