ASYMPTOTIC EQUIVALENCE OF ORDINARY LEAST-SQUARES AND GENERALIZED LEAST-SQUARES IN REGRESSIONS WITH INTEGRATED REGRESSORS

被引：47

作者：

PHILLIPS, PCB ^{[1
]}

PARK, JY ^{[1
]}

机构：

[1] YALE UNIV,DEPT ECON,NEW HAVEN,CT 06520

来源：

关键词：

D O I：

10.2307/2288927

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：111 / 115

页数：5

共 13 条

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[6]

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[9]

MALLEY J, 1986, OPTIMAL UNBIASED EST

[10] MULTIPLE TIME-SERIES REGRESSION WITH INTEGRATED PROCESSES [J].

PHILLIPS, PCB ;

DURLAUF, SN .