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Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions

This paper establishes consistency of least squares estimators in (i) a multiple regression model with integrated regressors and explosive, non-mixing errors, and (ii) a dynamic linear regression model with regressors and errors that may have infinite variances. In the former context, the asymptotic distribution of the least squares estimator also is obtained, in certain cases.
Year of publication:
1987
Authors: Andrews, Donald W. K.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 3.1987, 01, p. 98-116
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005411835
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