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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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  • Askar Choudhury
  • Simon Power

Abstract

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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  • Askar Choudhury & Simon Power, 1998. "The consequences of a potential pitfall in approximate GLS estimation of the regression model with ARMA(p, q) disturbances," Applied Economics Letters, Taylor & Francis Journals, vol. 5(7), pages 469-472.
    • Handle: RePEc:taf:apeclt:v:5:y:1998:i:7:p:469-472
    DOI: 10.1080/135048598354654
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