IDEAS home Printed from https://ideas.repec.org/p/umc/wpaper/0405.html
   My bibliography  Save this paper

Exact FGLS Asymptotics for MA Errors

Author

Abstract

We show under very parsimonious assumptions that FGLS and GLS are asymptotically equivalent when errors follow an invertible MA(1) process. Although the linear regression model with MA errors has been studied for many years, asymptotic equivalence of FGLS and GLS has never been established for this model. We do not require anything beyond a finite second moment of the conditional white noise, uniformly bounded fourth moments and independence of the regressor vectors, consistency of the estimator for the MA parameter, and a finite nonsingular probability limit for the (transformed) averages of the regressors. These assumptions are analogous to assumptions typically used to prove asymptotic equivalence of FGLS and GLS in SUR models, models with AR(p) errors, and models of parametric heteroscedasticity.

Suggested Citation

  • David Mandy & Sandor Fridli, 2004. "Exact FGLS Asymptotics for MA Errors," Working Papers 0405, Department of Economics, University of Missouri, revised 16 Dec 2004.
    • Handle: RePEc:umc:wpaper:0405
    as

    Download full text from publisher

    File URL: https://drive.google.com/file/d/1KitTAthffUfRIEc9aKilRWHN31HNBQun/view?usp=sharing
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Mandy, David M & Martins-Filho, Carlos, 1997. "A Note on a Unified Approach to Asymptotic Equivalence of Aitken and Feasible Aitken Instrumental Variables Estimators," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(2), pages 479-479, May.
    2. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    3. West, Kenneth D & Wilcox, David W, 1996. "A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 281-293, July.
    4. Maddala, G S, 1971. "Generalized Least Squares with an Estimated Variance Covariance Matrix," Econometrica, Econometric Society, vol. 39(1), pages 23-33, January.
    5. Mandy, David M & Martins-Filho, Carlos, 1994. "A Unified Approach to Asymptotic Equivalence of Aitken and Feasible Aitken Instrumental Variables Estimators," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(4), pages 957-979, November.
    6. Amemiya, Takeshi, 1973. "Generalized Least Squares with an Estimated Autocovariance Matrix," Econometrica, Econometric Society, vol. 41(4), pages 723-732, July.
    7. Zinde-Walsh, Victoria & Galbraith, John W., 1991. "Estimation of a linear regression model with stationary ARMA(p, q) errors," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 333-357, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
    2. Mahmoud MOURAD, 2021. "Impact of Socio-Economic Variables on Life Expectancy: An Empirical Study for 138 Countries," Journal of Public Administration and Governance, Macrothink Institute, vol. 11(1), pages 330346-3303, December.
    3. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
    4. Hakkio, Craig S, 1981. "Expectations and the Forward Exchange Rate," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 663-678, October.
    5. Giuseppe Croce & Emanuela Ghignoni, 2011. "Overeducation and spatial flexibility in Italian local labour markets," Working Papers in Public Economics 145, Department of Economics and Law, Sapienza University of Roma.
    6. Darrian Collins & Clem Tisdell, 2004. "Outbound Business Travel Depends on Business Returns: Australian Evidence," Australian Economic Papers, Wiley Blackwell, vol. 43(2), pages 192-207, June.
    7. Jongeneel, Roelof A. & Ge, Lan, 2005. "Explaining Growth in Dutch Agriculture: Prices, Public R&D, and Technological Change," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24573, European Association of Agricultural Economists.
    8. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
    9. Hany Eldemerdash & Hugh Metcalf & Sara Maioli, 2014. "Twin deficits: new evidence from a developing (oil vs. non-oil) countries’ perspective," Empirical Economics, Springer, vol. 47(3), pages 825-851, November.
    10. Rao, Surekha & Ghali, Moheb & Krieg, John, 2008. "On the J-test for nonnested hypotheses and Bayesian extension," MPRA Paper 14637, University Library of Munich, Germany.
    11. Schimmelpfennig, Axel, 1998. "The celtic tiger faces the factor price frontier: Labour market adjustment in Ireland," Kiel Working Papers 855, Kiel Institute for the World Economy (IfW Kiel).
    12. Saul Lach & Mark Schankerman, 2008. "Incentives and invention in universities," RAND Journal of Economics, RAND Corporation, vol. 39(2), pages 403-433, June.
    13. Maria Iacovou, 2002. "Class Size in the Early Years: Is Smaller Really Better?," Education Economics, Taylor & Francis Journals, vol. 10(3), pages 261-290.
    14. Maarten A. Allers & Corine Hoeben, 2010. "Effects of Unit-Based Garbage Pricing: A Differences-in-Differences Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 45(3), pages 405-428, March.
    15. C. Lanier Benkard, 2000. "Learning and Forgetting: The Dynamics of Aircraft Production," American Economic Review, American Economic Association, vol. 90(4), pages 1034-1054, September.
    16. Bergman, Mats A. & Johansson, Per & Bergman, M.A., 2002. "Large investments in the pulp and paper industry: a count data regression analysis," Journal of Forest Economics, Elsevier, vol. 8(1), pages 29-52.
    17. Hongbin Li & Mark Rosenzweig & Junsen Zhang, 2010. "Altruism, Favoritism, and Guilt in the Allocation of Family Resources: Sophie's Choice in Mao's Mass Send-Down Movement," Journal of Political Economy, University of Chicago Press, vol. 118(1), pages 1-38, February.
    18. Nguyen, Bach & Tran, Hai-Anh & Stephan, Ute & Van, Ha Nguyen & Anh, Pham Thi Hoang, 2024. "“I can't get it out of my mind” - Why, how, and when crisis rumination leads entrepreneurs to act and pivot during crises," Journal of Business Venturing, Elsevier, vol. 39(4).
    19. Alfò, Marco & Carbonari, Lorenzo & Trovato, Giovanni, 2023. "On the effects of taxation on growth: an empirical assessment," Macroeconomic Dynamics, Cambridge University Press, vol. 27(5), pages 1289-1318, July.
    20. Ongo Nkoa, Bruno Emmanuel & Song, Jacques Simon, 2020. "Does institutional quality affect financial inclusion in Africa? A panel data analysis," Economic Systems, Elsevier, vol. 44(4).

    More about this item

    Keywords

    Moving Average; Generalized Least Squares; Asymptotic Distribution;
    All these keywords.

    JEL classification:

    • L5 - Industrial Organization - - Regulation and Industrial Policy

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:umc:wpaper:0405. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chao Gu (email available below). General contact details of provider: https://edirc.repec.org/data/edumous.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.