Faculty of Economics and Business Administration Publications Database

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

Authors:
Krämer, Walter
Source:
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.
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