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Least Squares Regression with Integrated orDynamic Regressors under Weak ErrorAssumptions

Published online by Cambridge University Press:  11 February 2009

Donald W. K. Andrews
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Abstract

This paper establishes consistency of least squaresestimators in (i) a multiple regression model withintegrated regressors and explosive, non-mixingerrors, and (ii) a dynamic linear regression modelwith regressors and errors that may have infinitevariances. In the former context, the asymptoticdistribution of the least squares estimator also isobtained, in certain cases.

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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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