Regression with Slowly Varying Regressors and Nonlinear Trends

• المؤلف الرئيسي: PHILLIPS, Peter C. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Large deviations; Orthogonal polynomials; density estimator; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/246; https://ink.library.smu.edu.sg/context/soe_research/article/1245/viewcontent/Regression_with_Slowly_Varying_Regressors_2007_ET.pdf

Slowly varying (SV) regressors arise commonly in empirical econometric work, particularly in the form of semilogarithmic regression and log periodogram regression. These regressors are asymptotically collinear. Usual regression formulas for asymptotic standard errors are shown to remain valid, but r...