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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2016
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |