Regressions with Asymptotically Collinear Regressor

Mynbaev, Kairat (2009): Regressions with Asymptotically Collinear Regressor. Published in: Econometrics Journal , Vol. 14, (June 2011): pp. 304-320.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Asymptotically collinear regressors; asymptotic distribution; Lp-approximability; OLS estimator
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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