This paper introduces a new approximate GLS estimator for the linear regression model with ARMA(p, q) disturbances, which involves a simple two-step transformation procedure and is readily implemented using any basic econometrics package.

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Persistent URL dx.doi.org/10.1016/0165-1765(94)00603-Y
Journal Economics Letters
Citation
Choudhury, A.H. (Askar H.), & Power, S. (1995). A new approximate GLS estimator for the linear regression model with ARMA(p, q) disturbances. Economics Letters, 48(2), 119–127. doi:10.1016/0165-1765(94)00603-Y