Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions
证明了在两种弱误差假设下最小二乘估计的一致性：一是含积分回归元和爆炸性非混合误差的多元回归，二是回归元与误差可能有无穷方差的动态线性回归，并在某些情况下给出了渐近分布。
This paper establishes consistency of least squares estimators in (i) a multiple regression model with integrated regressors and explosive, non-mixing errors, and (ii) a dynamic linear regression model with regressors and errors that may have infinite variances. In the former context, the asymptotic distribution of the least squares estimator also is obtained, in certain cases.