The article considers the efficiency of ordinary least squares (OLS) coefficient estimates relative to generalized least squares (GLS) in a linear regression model where the disturbances follow a ...
In a multivariate regression model, the errors in different equations may be correlated. In this case the efficiency of the estimation may be improved by taking these cross-equation correlations into ...
Saikkonen (1991. "Econometric Theory" 7, 1-21) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic ordinary least squares (OLS) estimator ...
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