Choices between OLS with robust inference and feasible GLS in time series regressions

DOI10.1016/J.ECONLET.2018.07.036MaRDI QIDQ1788026zbMATH OpenOpenAlexWikidataFDO

Authors Richard T. Baillie, Kun Ho Kim

Publication date 8 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.07.036

zbMATH Keywords

asymptotic biasfeasible GLSGLSOLSrobust inference

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Estimating the dimension of a model
• Generalized Least Squares with an Estimated Autocovariance Matrix
• scientific article; zbMATH DE number 3797051 (Why is no real title available?)
• Least squares estimation in the regression model with autoregressive-moving average errors
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Semiparametric sieve-type generalized least squares inference

Cited in

(3)

• OLS or GLS in the presence of specification error? An expected loss approach
• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• Difference in difference meets generalized least squares: higher order properties of hypotheses tests

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