THE CONSEQUENCES OF A POTENTIAL PITFALL IN APPROXIMATE GLS ESTIMATIONOF THE REGRESSION-MODEL WITH ARMA(P,Q) DISTURBANCES

Authors
CHOUDHURY AH POWER S
Citation
Ah. Choudhury et S. Power, THE CONSEQUENCES OF A POTENTIAL PITFALL IN APPROXIMATE GLS ESTIMATIONOF THE REGRESSION-MODEL WITH ARMA(P,Q) DISTURBANCES, Applied economics letters, 5(7), 1998, pp. 469-472
Citations number
10
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
5
Issue
7
Year of publication
1998
Pages
469 - 472
Database
ISI
SICI code
1350-4851(1998)5:7<469:TCOAPP>2.0.ZU;2-Y
Abstract
This paper investigates the phenomenon of covariance matrix underestim ation leading to possibly misleading inference which can arise from a potential pitfall in approximate GLS estimation of the regression mode l with ARMA disturbances.