Inference in near-singular regression

Inference in near-singular regression

This paper considers stationary regression models with near-collinear regressors. Limit theory is developed for regression estimates and test statistics in cases where the signal matrix is nearly singular in finite samples and is asymptotically degenerate. Examples include models that involve evapor...

Full description

Saved in:
Bibliographic Details
Main Author: Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Endogeneity; Instrumental variable; Singular signal matrix; Size distortion; Structural equation
Behavioral Economics
Growth and Development
Online Access:https://ink.library.smu.edu.sg/soe_research/1948
https://ink.library.smu.edu.sg/context/soe_research/article/2947/viewcontent/Inference_in_near_singular_regression__1_.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1948
https://ink.library.smu.edu.sg/context/soe_research/article/2947/viewcontent/Inference_in_near_singular_regression__1_.pdf

Similar Items