Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김건호 | - |
dc.date.accessioned | 2019-12-09T19:54:49Z | - |
dc.date.available | 2019-12-09T19:54:49Z | - |
dc.date.issued | 2018-10 | - |
dc.identifier.citation | ECONOMICS LETTERS, v. 171, page. 218-221 | en_US |
dc.identifier.issn | 0165-1765 | - |
dc.identifier.issn | 1873-7374 | - |
dc.identifier.uri | https://www.sciencedirect.com/science/article/pii/S0165176518302969?via%3Dihub | - |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/120430 | - |
dc.description.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. | en_US |
dc.description.sponsorship | We are very grateful for helpful discussions with Andrew Harvey, George Kapetanios, Peter Phillips, James Stock, Granville Tunnicliffe Wilson and Mark Watson; and also for helpful comments from seminar participants at the NBER-NSF Time Series conference at Columbia University, SNDE conference in Paris, IAAE conference in Milan, Lancaster University, Michigan State University and Queen Mary University of London. K.H. Kim gratefully acknowledges Hanyang University research fund (HY-2017) and funding from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2016S1A5A8019787). The authors are responsible for any remaining errors and omissions. | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | ELSEVIER SCIENCE SA | en_US |
dc.subject | OLS | en_US |
dc.subject | GLS | en_US |
dc.subject | Feasible GLS | en_US |
dc.subject | Asymptotic bias | en_US |
dc.subject | Robust inference | en_US |
dc.title | Choices between OLS with robust inference and feasible GLS in time series regressions | en_US |
dc.type | Article | en_US |
dc.relation.volume | 171 | - |
dc.identifier.doi | 10.1016/j.econlet.2018.07.036 | - |
dc.relation.page | 218-221 | - |
dc.relation.journal | ECONOMICS LETTERS | - |
dc.contributor.googleauthor | Baillie, Richard T. | - |
dc.contributor.googleauthor | Kim, Kun Ho | - |
dc.relation.code | 2018014668 | - |
dc.sector.campus | S | - |
dc.sector.daehak | COLLEGE OF ECONOMICS AND FINANCE[S] | - |
dc.sector.department | DIVISION OF ECONOMICS & FINANCE | - |
dc.identifier.pid | kunhokim | - |
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