Asymptotic equivalence of ordinary least squares and generalized least squares with trending regressors and stationary autoregressive disturbances

Walter Krämer

No 1997,04, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: This note generalizes previous results on the asymptotic equivalence of Ordinary and Generalized Least Squares estimates in Linear Regression models with trending data.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:199704

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