ALMOST SURE BOUNDS ON THE ESTIMATION ERROR FOR OLS ESTIMATORS WHEN THE REGRESSORS INCLUDE CERTAIN MFI(1) PROCESSES

Dietmar Bauer

Econometric Theory, 2009, vol. 25, issue 02, pages 571-582

Abstract: Lai and Wei (1983, Annals of Statistics 10, 154 min(T) of tends to infinity (a.s.) and log( min(T) max(T) denotes the maximal eigenvalue. Moreover the rate of convergence in this case equals . In this note xt is taken to be a particular multivariate multifrequency I(1) processes, and almost sure rates of convergence for least squares estimators are established.

Date: 2009

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