Finite sample efficiency of OLS in linear regression models with long-memory disturbances

OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region, provided the model contains a constant term. This generalizes previous results of Samarov and Taqqu [Journal of Time Series Analysis 9 (1988) 191–200] and gives a further example of the ‘high-correlation asymptotics’ of Krämer and Baltagi [Economics Letters 50 (1996) 13–17].