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Comparison of GLS and OLS for a Linear Regression Model with Noninvertible MA(1) Errors

Published online by Cambridge University Press:  18 October 2010

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Type
Problems
Information
Econometric Theory , Volume 8 , Issue 4 , December 1992 , pp. 583
Copyright
Copyright © Cambridge University Press 1992

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References

REFERENCES

1.Kruskal, W.When are Gauss-Markov and least-squares estimation identical? A coordinate free approach. Annals of Mathematical Statistics 39 (1968): 70–75.CrossRefGoogle Scholar
2.Phillips, P.C.B.Asymptotic properties of OLS and GLS. Econometric Theory 4 (1988): 171–172.CrossRefGoogle Scholar