Document Type
Discussion Paper
Publication Date
9-1-1986
CFDP Number
802
CFDP Pages
21
Abstract
In the multiple regression model y t = x’ t β + u t where { u t } is stationary and x t is an integrated m -vector process it is shown that the asymptotic distributions of the ordinary least squares (OLS) and generalized least squares (GLS) estimators of β are identical. This generalizes a recent result obtained by Kramer (1986) for simple two variate regression. Our approach makes use of a multivariate invariance principle and yields explicit representations of the asymptotic distributions in terms of fuctionals of vector Brownian motion. Some useful assumption results for hypothesis tests in the model are also provided.
Recommended Citation
Phillips, Peter C.B. and Park, Joon Y., "Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors" (1986). Cowles Foundation Discussion Papers. 1045.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1045