Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends
AbstractWe propose a general method of modeling deterministic trends for autoregressions. The method relies on the notion of $L_2$-approximable regressors previously developed by the author. Some facts from the theory of functions play an important role in the proof. In its present form, the method encompasses slowly growing regressors, such as logarithmic trends, and leaves open the case of polynomial trends.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18448.
Date of creation: 2003
Date of revision: 2005
autoregression; deterministic trend; OLS estimator asymptotics;
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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