Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
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Publication:3793579
DOI10.2307/2288927zbMath0648.62094OpenAlexW4251603883MaRDI QIDQ3793579
Peter C. B. Phillips, Joon Y. Park
Publication date: 1988
Full work available at URL: https://doi.org/10.2307/2288927
asymptotic efficiencyasymptotic distributionsgeneralized least squaresordinary least squaresmultiple regression modelstationary autoregressive processmultivariate invariance principlefunctionals of vector Brownian motionintegrated m-vector process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05)
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