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.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 3 (1987) Issue (Month): 01 (February) Pages: 98-116 Download reference. The following formats are available: HTML
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