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The strengths and weaknesses of L2 approximable regressors

Mynbaev, Kairat - Volkswirtschaftliche Fakultät, … - 2001

are (not) L2-approximable are given. Applications to central limit theory and OLS estimator asymptotics are provided. …

Persistent link: https://www.econbiz.de/10005621465

On the Inconsistency of the Ordinary Least Squares Estimator for Spatial Autoregressive Processes

AZOMAHOU, Théophile; LAHATTE, Agénor - Bureau d'Économie Théorique et Appliquée (BETA), … - 2000

This paper investigates the asymptotic properties of the ordinary least squares estimator for spatial autoregressive models. We show that this estimator is biased as well as inconsistent for the parameters regardless of the distribution of the error term. Illustrative examples are also provided.

Persistent link: https://www.econbiz.de/10005230738

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa; Chiang, Min-Hsien - EconWPA - 1997

asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean …. Monte Carlo results examine the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non …-negligible bias in finite samples, (2) the FM estimator does not improve over the OLS estimator in general, and (3) the DOLS out …

Persistent link: https://www.econbiz.de/10005119195