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

Donald W. K. Andrews ()

Econometric Theory, 1987, vol. 3, issue 01, pages 98-116

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.

Date: 1987
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:3:y:1987:i:01:p:98-116_00

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