14 0

Choices between OLS with robust inference and feasible GLS in time series regressions

Title
Choices between OLS with robust inference and feasible GLS in time series regressions
Author
김건호
Keywords
OLS; GLS; Feasible GLS; Asymptotic bias; Robust inference
Issue Date
2018-10
Publisher
ELSEVIER SCIENCE SA
Citation
ECONOMICS LETTERS, v. 171, page. 218-221
Abstract
We consider the practice of estimating static regressions by OLS from time series data and using robust standard errors for inference. Depending on the form of exogeneity being violated, the asymptotic bias of OLS can exceed that of GLS. Feasible GLS, where the error process is approximated by a sieve autoregression, can dominate the OLS approach with robust standard errors both in terms of bias and MSE for some regions of the parameter space. (C) 2018 Elsevier B.V. All rights reserved.
URI
https://www.sciencedirect.com/science/article/pii/S0165176518302969?via%3Dihubhttp://repository.hanyang.ac.kr/handle/20.500.11754/120430
ISSN
0165-1765; 1873-7374
DOI
10.1016/j.econlet.2018.07.036
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE