Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

Walter Krämer and Uwe Hassler

No 1997,01, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We show that previous results on the asymptotic efficiency of OLS versus GLS in the context of trending data carry over to regressors of the fractionally integrated type.

Date: 1997
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Journal Article: Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated (1998)
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