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Finite sample efficiency of OLS in linear regression models with long-memory disturbances

Christian Kleiber

No 2000,34, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region_ provided the model contains a constant term. This generalizes previous results of Samarov Taqqu (Journal of Time Series Analysis 9 1998 pp, 191 – 200) to the regression case and gives a further example of the ‘high_correlation asymptotics of Krämer & Baltagi (Economics Letters 50, 1996, pp. 13 – 17).

Keywords: Efficiency of OLS; linear regression; long memory (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2000
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