Regressions with Asymptotically Collinear Regressor
Kairat Mynbaev ()
MPRA Paper from University Library of Munich, Germany
We investigate the asymptotic behavior of the OLS estimator for regressions with two slowly varying regressors. It is shown that the asymptotic distribution is normal one-dimensional and may belong to one of four types depending on the relative rates of growth of the regressors. The analysis establishes, in particular, a new link between slow variation and $L_p$-approximability. A revised version of this paper has been published in Econometrics Journal (2011), volume 14, pp. 304--320.
Keywords: Asymptotically collinear regressors; asymptotic distribution; Lp-approximability; OLS estimator (search for similar items in EconPapers)
JEL-codes: C13 C01 (search for similar items in EconPapers)
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Journal Article: Regressions with asymptotically collinear regressors (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:31315
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