Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances

Walter Krämer and Francesc Marmol

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR(p)-9isturbances and a wide range of trending regressors, and that OLS-based statistical inference is still meaningful after proper adjustment of the teststatistics.

Keywords: OLS; GLS; Trending; regressors (search for similar items in EconPapers)
Date: 1999-03
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6300

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