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Least Squares Regression When the Independent Variable Follows an ARIMA Process

 

作者: Walter Krämer,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1986）
卷期: Volume 81, issue 393  

页码: 150-154

 

ISSN:0162-1459

 

年代: 1986

 

DOI:10.1080/01621459.1986.10478252

 

出版商: Taylor & Francis Group

 

关键词: Ordinary least squares;Asymptotic distribution;Relative efficiency

 

数据来源: Taylor

 

摘要:

In the regression modelyt= α + βxt+utwhere the disturbancesutmay be autocorrelated andxtfollows 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.

 

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