OLS-based asymptotic inference in linear regression models with trending regressors and AR(p)-disturbances

We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR (p) disturbances and a wide range of trending regressors_ and that OLS based statistical inference is still meaningful after proper adjustment of the test statistics.

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Year of publication:	1998
Authors:	Krämer, Walter ; Marmol, Francesc
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

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Series:	Technical Report ; 1998,43
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	810899035 [GVK] hdl:10419/77204 [Handle] RePEc:zbw:sfb475:199843 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316547