Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices

DOI10.1016/j.spl.2016.03.018zbMath1351.62172OpenAlexW1570739429MaRDI QIDQ277287

Yoshimasa Uematsu

Publication date: 4 May 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd11-208.pdf

zbMATH Keywords

asymptotic relative efficiencyslowly varying functionstationary time seriesasymptotically collinear regressorGrenander-Rosenblatt theoremOLS estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Transition Modeling and Econometric Convergence Tests

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