Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77175
Authors: 
Kleiber, Christian
Year of Publication: 
2000
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2000,34
Abstract: 
OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region_ provided the model contains a constant term. This generalizes previous results of Samarov Taqqu (Journal of Time Series Analysis 9 1998 pp, 191 – 200) to the regression case and gives a further example of the ‘high_correlation asymptotics of Krämer & Baltagi (Economics Letters 50, 1996, pp. 13 – 17).
Subjects: 
Efficiency of OLS
linear regression
long memory
JEL: 
C13
C22
Document Type: 
Working Paper

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