Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors (Q3793579)
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scientific article; zbMATH DE number 4058699
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| English | Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors |
scientific article; zbMATH DE number 4058699 |
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1988
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asymptotic efficiency
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multiple regression model
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stationary autoregressive process
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integrated m-vector process
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asymptotic distributions
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ordinary least squares
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generalized least squares
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multivariate invariance principle
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functionals of vector Brownian motion
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Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors (English)
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0.8482248187065125
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0.8469187021255493
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0.8405559062957764
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