The ordinary least-squares (OLS) estimation in regression models with integrated regressors is considered. The limiting distribution of the OLS estimator is established under suitable normalization. This unifies asymptotic results for various models studied by numerous authors in the past. It is sho
โฆ LIBER โฆ
Regression with multiple regressor arrays
โ Scribed by Dave C. Plaehn; David S. Lundahl
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 279 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0886-9383
- DOI
- 10.1002/cem.1092
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Suppose \(Y\) has a linear regression on \(X_{1}, X_{2}\), but observations are only available on \(\left(Y, X_{1}\right)\). If large scale data on \(\left(X_{1}, X_{2}\right)\) are available, which do not include \(Y\), and if the regression of \(X_{2}\), given \(X_{1}\), is nonlinear, then one may