scientific article; zbMATH DE number 1329173

MaRDI QIDQ4257545zbMATH OpenFDO

Authors Walter Krämer

Publication date 10 September 2000

zbMATH Keywords

asymptotic equivalencegeneralized least squaresordinary least squarestrending data

Mathematics Subject Classification ID

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

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Cited in

(10)

• Choices between OLS with robust inference and feasible GLS in time series regressions
• Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
• A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors
• OLS-BASED ASYMPTOTIC INFERENCE IN LINEAR REGRESSION MODELS WITH TRENDING REGRESSORS AND AR(p)-DISTURBANCES
• ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR FOR REGRESSIONS WITH UNSTABLE REGRESSORS
• Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends
• Finite sample efficiency of OLS in linear regression models with long-memory disturbances
• An efficient generalized least squares algorithm for periodic trended regression with autoregressive errors

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