Finite sample efficiency of OLS in linear regression models with long-memory disturbances

DOI10.1016/S0165-1765(01)00423-2MaRDI QIDQ5941374zbMATH OpenFDO

Authors Christian Kleiber

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(01)00423-2

zbMATH Keywords

Efficiency of OLSLong memory

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A general condition for an optimal limiting efficiency of OLS in the general linear regression model
• A note on calculating the autocovariances of the fractionally integrated ARMA models
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
• scientific article; zbMATH DE number 3874437 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3219699 (Why is no real title available?)
• Long memory processes and fractional integration in econometrics
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE

Cited in

(12)

• On estimation of a regression model with long-memory stationary errors
• Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices
• A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors
• scientific article; zbMATH DE number 3874437 (Why is no real title available?)
• Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
• OLS-BASED ASYMPTOTIC INFERENCE IN LINEAR REGRESSION MODELS WITH TRENDING REGRESSORS AND AR(p)-DISTURBANCES
• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
• Efficiency of the OLS estimator in the vicinity of a spatial unit root
• A general condition for an optimal limiting efficiency of OLS in the general linear regression model
• The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process
• Confidence intervals for long memory regressions

Describes a project that uses

Uses Software

• longmemo

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