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    Exact FGLS Asymptotics for MA Errors

    Mandy, David M.
    Fridli, Sandor
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    [PDF] ExactFGLSAsymptoticsMAErrors.pdf (190.0Kb)
    Date
    2004
    Format
    Working Paper
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    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.
    URI
    http://hdl.handle.net/10355/2712
    Part of
    Working papers (Department of Economics);WP 04-05
    Part of
    Economics publications
    Citation
    Department of Economics, 2004
    Collections
    • Economics publications (MU)

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