Asymptotic efficiency of the OLSE for polynomial regression models with spatially correlated errors

✍ Scribed by Dong Wan Shin; Seuck Heun Song

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 103 KB
• Volume: 47
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(99)00092-9

✦ Synopsis

For polynomial regression models with spatially correlated errors, the covariance matrix of the ordinary least-squares estimator (OLSE) is shown to have the same limiting value as that of the generalized least-squares estimator (GLSE) under the same normalization. This implies that the OLSE is asymptotically e cient.