Long-Horizon Regressions when the Predictor is Slowly Varying
نویسندگان
چکیده
منابع مشابه
REGRESSIONS WITH TWO SLOWLY VARYING REGRESSORS 1 Regressions with Two Slowly Varying Regressors: Hidden Discontinuities in Asymptotic Behavior
Asymptotic behavior of the OLS estimator for regressions with two slowly varying regressors is studied. It is shown that the asymptotic distribution may belong to one of four types depending on the relative rates of growth of the regressors. The paper expands and corrects recent results by P.C.B.Phillips (2007).
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.564741