OLS-BASED ASYMPTOTIC INFERENCE IN LINEAR REGRESSION MODELS WITH TRENDING REGRESSORS AND AR(p)-DISTURBANCES

DOI10.1081/STA-120002650MaRDI QIDQ4540719zbMATH OpenFDO

Authors Walter Krämer, F. Marmol

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-120002650

Mathematics Subject Classification ID

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

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Cites work

• An introduction to stochastic unit-root processes
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance
• Ordinary least squares estimation of simultaneous equation systems with trended data: further results
• The Fractional Unit Root Distribution

Cited in

(6)

• Choices between OLS with robust inference and feasible GLS in time series regressions
• Second-order least-squares estimation for regression models with autocorrelated errors
• Simple regressions with linear time trends
• scientific article; zbMATH DE number 3907632 (Why is no real title available?)
• scientific article; zbMATH DE number 1329173 (Why is no real title available?)
• Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends

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