Asymptotic Normality, When Regressors Have a Unit Root

DOI10.2307/1913104zbMath0653.62078OpenAlexW2079189629WikidataQ59486390 ScholiaQ59486390MaRDI QIDQ3799532

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913104

zbMATH Keywords

asymptotic normality time series consistent estimate random walk ordinary least squares autocorrelation heteroskedasticity regression equation asymptotic variance covariance matrix common unit root linear instrumental variables estimators nonstationary variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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