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Asymptotic normality, when regressors have a unit root. (English) Zbl 0653.62078
Under fairly general conditions, ordinary least squares and linear instrumental variables estimators are asymptotically normal when a regression equation has nonstationary right-hand side variables. Standard formulas may be used to calculate a consistent estimate of the asymptotic variance covariance matrix of the estimated parameter vector, even if the disturbances are conditionally heteroskedastic and autocorrelated. So inference may proceed in the usual way. The key requirements are that the nonstationary variables share a common unit root and that the unconditional mean of their first differences is nonzero.

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
62H12 Estimation in multivariate analysis
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