Asymptotic Efficiency of the OLS Estimator with Singular Limiting Sample Moment Matrices

Yoshimasa Uematsu

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This paper presents a time series model that has an asymptotically efficient ordinary least squares (OLS) estimator, irrespective of the singularity of its limiting sample moment matrices. In the literature on stationary time series analysis, Grenander and Rosenblatt's (1957) (G-R) classical result is used to judge the asymptotic efficiency of regression coefficients on deterministic regressors satisfying Grenander's condition. Without this condition, however, it is not obvious that the model is efficient. In this paper, we introduce such a model by proving the efficiency of the model with a slowly varying (SV) regressor under the same condition on error terms constrained in G-R. This kind of regressor is known to display asymptotic singularity in the sample moment matrices, as in Phillips (2007), such that Grenander's condition fails.

Date: 2011-10
New Economics Papers: this item is included in nep-ecm
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