The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances

Choudhury, Askar H.; Power, Simon

doi:10.1080/135048598354654

Choudhury, A.H. (Askar H.) and S. Power (Simon)

1998

The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances

Applied Economics Letters , Volume 5 - Issue 7 p. 469- 472

This paper investigates the phenomenon of covariance matrix underestimation leading to possibly misleading inference which can arise from a potential pitfall in approximate GLS estimation of the regression model with ARMA disturbances.

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Persistent URL	doi.org/10.1080/135048598354654
Journal	Applied Economics Letters
Organisation	Department of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Choudhury, A.H. (Askar H.), & Power, S. (1998). The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances. Applied Economics Letters, 5(7), 469–472. doi:10.1080/135048598354654

The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances

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The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances

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