Faculty of Economics and Business Administration Publications Database

Limiting Efficiency of OLS vs. GLS When Regressors Are Fractionally Integrated

Krämer, Walter
Volume: 60
Number: 3
Pages: 285 - 290
ISSN-Print: 0165-1765
Year: 1998
Keywords: Least squares; Fractional integration; Efficiency
Abstract: We show that previous results on the asymptotic efficiency of OLSvs. GLS in the context of trending data carry over to regressors of the fractionallyintegrated type.