1998
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.
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| doi.org/10.1080/135048598354654 | |
| Applied Economics Letters | |
| Organisation | Department of Economics |
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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
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