Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

We show that previous results on the asymptotic efficiency of OLS versus GLS in the context of trending data carry over to regressors of the fractionally integrated type.

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Year of publication:	1997
Authors:	Krämer, Walter ; Hassler, Uwe
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 1997,01
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010982334