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The strengths and weaknesses of L2 approximable regressors

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  • 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.

Suggested Citation

  • Mynbaev, Kairat, 2001. "The strengths and weaknesses of L2 approximable regressors," MPRA Paper 9056, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:9056
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    File URL: https://mpra.ub.uni-muenchen.de/9056/1/MPRA_paper_9056.pdf
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    References listed on IDEAS

    as
    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.

    More about this item

    Keywords

    L2-approximable regressors; linear regression; OLS estimator; central limit theorem; asymptotic theory;

    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

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