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

Walter Krämer and Francesc Marmol

No 1998,43, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR (p) disturbances and a wide range of trending regressors_ and that OLS based statistical inference is still meaningful after proper adjustment of the test statistics.

Date: 1998
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Related works:
Working Paper: Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances (1999)
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