Inference in near-singular regression

• 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
• Institution: Singapore Management University

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...