{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T23:05:59Z","timestamp":1699916759496},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2002,7,17]],"date-time":"2002-07-17T00:00:00Z","timestamp":1026864000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,10]]},"abstract":"<jats:p>For regression models with general unstable regressors having \ncharacteristic roots on the unit circle and general stationary \nerrors independent of the regressors, sufficient conditions \nare investigated under which the ordinary least squares estimator \n(OLSE) is asymptotically efficient in that it has the same limiting \ndistribution as the generalized least squares estimator (GLSE) \nunder the same normalization. A key condition for the asymptotic \nefficiency of the OLSE is that one multiplicity of a characteristic \nroot of the regressor process is strictly greater than the \nmultiplicities of the other roots. Under this condition, the \ncovariance matrix \u0393 of the errors and the regressor matrix \n<jats:italic>X<\/jats:italic> are shown to satisfy a relationship \n(\u0393<jats:italic>X<\/jats:italic> = <jats:italic>XC<\/jats:italic> + <jats:italic>V<\/jats:italic> for some matrix \n<jats:italic>C<\/jats:italic>) for <jats:italic>V<\/jats:italic> asymptotically dominated by <jats:italic>X<\/jats:italic>, \nwhich is analogous to the condition (\u0393<jats:italic>X<\/jats:italic> = <jats:italic>XC<\/jats:italic> \nfor some matrix <jats:italic>C<\/jats:italic>) for numerical equivalence of the \nOLSE and the GLSE.<\/jats:p>","DOI":"10.1017\/s0266466602185057","type":"journal-article","created":{"date-parts":[[2002,11,14]],"date-time":"2002-11-14T22:03:05Z","timestamp":1037311385000},"page":"1121-1138","source":"Crossref","is-referenced-by-count":4,"title":["ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR \nFOR REGRESSIONS WITH UNSTABLE REGRESSORS"],"prefix":"10.1017","volume":"18","author":[{"given":"DONG WAN","family":"SHIN","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"MAN SUK","family":"OH","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2002,7,17]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602185057","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,7]],"date-time":"2019-05-07T00:32:52Z","timestamp":1557189172000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602185057\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,7,17]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2002,10]]}},"alternative-id":["S0266466602185057"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602185057","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,7,17]]}}}