1998-01-01
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.
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| Persistent URL | dx.doi.org/10.1080/135048598354654 |
| 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. doi:10.1080/135048598354654
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