In problems concerning time series, it is often the case that the distur- bances are, in fact, correlated. It is known that the ordinary least squares (OLS) may not be optimal in this context. We have proved that the rela- ...

The ordinary least squares (OLS) estimates in the regression model are efficient when the disturbances have mean zero, constant variance, and are uncorrelated. In problems concerning time series, it is often the case that ...