Finite sample efficiency of OLS in linear regression models with long-memory disturbances
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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 \textit{A. Samarov} and \textit{M. S. Taqqu} [J. Time Ser. Anal. 9, 191-200 (1988; Zbl 0637.62085)] and gives a further example of the `high-correlation asymptotics' of \textit{W. Krämer} and \textit{B. Baltagi} [Econ. Lett. 50, 13-17 (1996; Zbl 0900.90161)].
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Cited in
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- Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
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- 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
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