Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Equivalence of GLS and Difference Estimator in the Linear Regression Model under Seasonally Autocorrelated Disturbances

  • Seuck Heun Song (Institute of Statistics, Korea University, Seoul 136-701, KOREA) ;
  • Jong Hyup Lee (Dept. of Statistics, Duksung Women's University, Seoul 132-174, KOREA)
  • Published : 1994.12.01
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Abstract

The generalized least squares estimator in the linear regression model is equivalent to difference estimator irrespective of the particular form of the regressor matrix when the disturbances are generated by a seasonally autoregressive provess and autocorrelation is closed to unity.

Keywords

References

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  3. Introduction to the Theory and practice of Econometrics Judgy, G. G.;Hill. R. C.;Griffiths, W. E.;Lutkelpohl, H.;Lee, T. C.
  4. Journal of Econometrics v.24 A New Test for Fourth-Order Autoregressive Disturbances King, M. L.
  5. Journal of the Royal Statistical Society A v.134 Seasonal Variation in Regression Analysis Thomas, J. J.;Wallis, K. F.
  6. Econometrica v.40 Testing for Fourth Order Autocorrelation in Quarterly Regression Equation Wallis, K. F.