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The strengths and weaknesses of L2 approximable regressors

Author

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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
    as

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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," The Review of Economic Studies, Review of Economic Studies Ltd, 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.
    4. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Mynbayev, Kairat, 2007. "OLS Asymptotics for Vector Autoregressions with Deterministic Regressors," MPRA Paper 101688, University Library of Munich, Germany, revised 2018.
    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.
    3. 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.

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    More about this item

    Keywords

    L2-approximable regressors; linear regression; OLS estimator; central limit theorem; asymptotic theory;
    All these keywords.

    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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