Choices between OLS with robust inference and feasible GLS in time series regressions
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Publication:1788026
DOI10.1016/j.econlet.2018.07.036zbMath1402.62194OpenAlexW2883555759MaRDI QIDQ1788026
Kun Ho Kim, Richard T. Baillie
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Linear regression; mixed models (62J05)
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