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Regressions with Asymptotically Collinear Regressor

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  • Mynbaev, Kairat

Abstract

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.

Suggested Citation

  • Mynbaev, Kairat, 2009. "Regressions with Asymptotically Collinear Regressor," MPRA Paper 31315, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:31315
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    References listed on IDEAS

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    1. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
    2. Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
    3. Mynbaev, Kairat T., 2009. "Central Limit Theorems For Weighted Sums Of Linear Processes: Lp -Approximability Versus Brownian Motion," Econometric Theory, Cambridge University Press, vol. 25(3), pages 748-763, June.
    4. 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.
    5. Phillips, Peter C.B., 2007. "Regression With Slowly Varying Regressors And Nonlinear Trends," Econometric Theory, Cambridge University Press, vol. 23(4), pages 557-614, August.
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    Cited by:

    1. Mynbayev, Kairat & Darkenbayeva, Gulsim, 2019. "Analyzing variance in central limit theorems," MPRA Paper 101685, University Library of Munich, Germany.

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    More about this item

    Keywords

    Asymptotically collinear regressors; asymptotic distribution; Lp-approximability; OLS estimator;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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