Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors

asymptotic efficiency asymptotic distributions generalized least squares ordinary least squares multiple regression model stationary autoregressive process multivariate invariance principle functionals of vector Brownian motion integrated m-vector process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05)

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