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Asymptotic Properties of OLS and GLS

Published online by Cambridge University Press:  18 October 2010

Juan J. Dolado
Juan J. Dolado
Affiliation:
Bank of Spain.
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Abstract

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Type
Solutions
Information
Econometric Theory , Volume 5 , Issue 1 , April 1989 , pp. 177 - 180
Copyright
Copyright © Cambridge University Press 1989

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References

REFERENCES

1.Grenander, U. & Rosenblatt, M.. Statistical analysis of stationary time series. New York: Wiley, 1957.Google Scholar
2.Kruskal, W.When are Gauss-Markov and least-squares estimators identical? A coordinate free approach. Annals of Mathematical Statistics 39 (1968): 70–75.CrossRefGoogle Scholar
3.Phillips, P.C.B. & Park, J.Y.. Asymptotic properties of OLS and GLS in regressions with integrated regressors. Journal of the American Statistical Society 83 (1988): 111–115.Google Scholar