1998-12-01
The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances
Publication
Publication
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.
| Additional Metadata | |
|---|---|
| Journal | Applied Economics Letters |
| Citation |
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.
|