Least Squares Regression When the Independent Variable Follows an ARIMA Process
Journal of the American Statistical AssociationPublished 1 March 1986
Walter Krämer
Citations33
SJR quartileQ1
SJR score4.10
SNIP3.08
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Abstract
Abstract In the regression model yt = α + βxt + ut where the disturbances ut may be autocorrelated and xt follows an ARIMA(p, 1, q) process, it is shown that the asymptotic distributions of the ordinary and generalized least squares estimates of β are identical.
Keywords
MathematicsEconomics, Econometrics and Finance
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