Abstract
In recent contributions, Anderson/Taylor and Cristopeit/Helmes gave conditions for the strong consistency of least squares estimates in linear regression with stochastic re-gressors. Willers considered the weak consistency in this model setup. In all these papers autoregressive or the mixed autoregressive (AREX-) models are studied. Willers’ assumptions are the weakest known so far.
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References
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© 1982 Springer-Verlag Berlin Heidelberg
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Heiler, S. (1982). Strong and Weak Consistency of Instrumental Variable Estimates and Application to Dynamic Models. In: Deistler, M., Fürst, E., Schwödiauer, G. (eds) Games, Economic Dynamics, and Time Series Analysis. Physica, Heidelberg. https://doi.org/10.1007/978-3-662-41533-7_20
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DOI: https://doi.org/10.1007/978-3-662-41533-7_20
Publisher Name: Physica, Heidelberg
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