Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends
We 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.
|Date of creation:||2003|
|Date of revision:||2005|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Mynbaev, Kairat, 2001. "The strengths and weaknesses of L2 approximable regressors," MPRA Paper 9056, University Library of Munich, Germany.
- Nabeya, Seiji, 2000. "Asymptotic Distributions For Unit Root Test Statistics In Nearly Integrated Seasonal Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 16(02), pages 200-230, April.
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- Mynbaev, Kairat, 2000. "$L_p$-Approximable sequences of vectors and limit distribution of quadratic forms of random variables," MPRA Paper 18447, University Library of Munich, Germany, revised 2001.
- Anderson, T. W. & Kunitomo, Naoto, 1992. "Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 221-243, February. Full references (including those not matched with items on IDEAS)
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