LIMITING EFFICIENCY OF OLS VS. GLS WHEN REGRESSORS ARE FRACTIONALLY INTEGRATED

Authors
KRAMER W HASSLER U
Citation
W. Kramer et U. Hassler, LIMITING EFFICIENCY OF OLS VS. GLS WHEN REGRESSORS ARE FRACTIONALLY INTEGRATED, Economics letters, 60(3), 1998, pp. 285-290
Citations number
13
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
60
Issue
3
Year of publication
1998
Pages
285 - 290
Database
ISI
SICI code
0165-1765(1998)60:3<285:LEOOVG>2.0.ZU;2-R
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 fr actionally integrated type. (C) 1998 Elsevier Science S.A. All rights reserved.