We consider asymptotic properties of the least squares estimator (LSE) in a regression model with long-memory stationary errors. First we derive a necessary and sufficient condition that the LSE be asymptotically efficient relative to the best linear unbiased estimator (BLUE). Then we derive the asymptotic distribution of the LSE under a condition on the higher-order cumulants of the white-noise process of the errors.
"Asymptotic Properties of the LSE in a Regression Model with Long-Memory Stationary Errors." Ann. Statist. 19 (1) 158 - 177, March, 1991. https://doi.org/10.1214/aos/1176347975