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

Published online by Cambridge University Press:  11 February 2009

Donald W. K. Andrews
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Abstract

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.

Type
Research Article
Information
Econometric Theory , Volume 3 , Issue 1 , February 1987 , pp. 98 - 116
Copyright
Copyright © Cambridge University Press 1987

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