ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR FOR REGRESSIONS WITH UNSTABLE REGRESSORS

DOI10.1017/S0266466602185057zbMATH Open1033.62087MaRDI QIDQ4807328FDOQ4807328

Authors: Dong Wan Shin, Man-Suk Oh 

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

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zbMATH Keywords

time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (8)

• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices
• Efficiency of the OLS estimator in the vicinity of a spatial unit root
• Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors
• Some comments on six inequalities associated with the inefficiency of ordinary least squares with one regressor
• Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
• Efficiency of the OLSE for regressions on two-dimensional grids with sinusoidal regressors and spatially correlated errors
• Title not available (Why is that?)

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