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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 JKSS(Journal of the Korean Statistical Society) Journal of the Korean Statistical Society 제31권 제2호
- 발행연도
- 2002.1
- 수록면
- 251 - 259 (9page)
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초록· 키워드
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Lagged regressor models with general stationary errors independent of the regressors are considered. The regressor process is unstable having characteristic roots on the unit circle. If the order of the lag matches the number of roots on the unit circle, the ordinary least squares estimator (OLSE) is asymptotically efficient in that it has the same limiting distribution as the generalized least squares estimator (GLSE) under the same normalization. This result extends the well-known result of Grenander and Rosenblatt (1957) for asymptotic efficiency of the OLSE in deterministic polynomial and/or trigonometric regressor models to a class of models with stochastic regressors.
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