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The strengths and weaknesses of L2 approximable regressors

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Listed author(s):
  • Mynbaev, Kairat

Abstract

The most part of the paper is about modeling (or approximating) nonstochastic regressors. Examples of regressors which are (not) L2-approximable are given. Applications to central limit theory and OLS estimator asymptotics are provided.

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File URL: https://mpra.ub.uni-muenchen.de/9056/1/MPRA_paper_9056.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9056.

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Date of creation: 2001
Handle: RePEc:pra:mprapa:9056
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Keywords: L2-approximable regressors; linear regression; OLS estimator; central limit theorem; asymptotic theory;

Find related papers by JEL classification:

  • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
  • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
  • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

References listed on IDEAS
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  1. Eugene Canjels & Mark W. Watson, 1997. "Estimating Deterministic Trends In The Presence Of Serially Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 184-200, May.
  2. Jushan Bai & Robin L. Lumsdaine & James H. Stock, 1998. "Testing For and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 395-432.
  3. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
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Cited by:

  1. Mynbaev, Kairat, 2003. "Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends," MPRA Paper 18448, University Library of Munich, Germany, revised 2005.
  2. Mynbaev, Kairat, 2006. "Asymptotic Distribution of the OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model," MPRA Paper 4411, University Library of Munich, Germany.

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