A NEW APPROXIMATE GLS ESTIMATOR FOR THE LINEAR-REGRESSION MODEL WITH ARMA(P,Q) DISTURBANCES

被引：4

作者：

CHOUDHURY, AH

POWER, S

机构：

[1] CARLETON UNIV,DEPT ECON,OTTAWA,ON K1S 5B6,CANADA

[2] UNIV ALASKA,SCH BUSINESS,ANCHORAGE,AK 99508

来源：

ECONOMICS LETTERS | 1995年 / 48卷 / 02期

关键词：

D O I：

10.1016/0165-1765(94)00603-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces a new approximate GLS estimator for the linear regression model with ARMA (p, q) disturbances, which involves a simple two-step transformation procedure and is readily implemented using any basic econometrics package.

引用

页码：119 / 127

页数：9

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