REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
研究了缓慢变化回归变量在经验计量经济中的常见形式，如半对数回归和对数周期图回归，证明了通常的渐近标准误公式仍然有效，但收敛速度受影响，且回归系数的极限分布是单维的。
Slowly varying (SV) regressors arise commonly in empirical econometric work, particularly in the form of semilogarithmic regression and log periodogram regression. These regressors are asymptotically collinear. Usual regression formulas for asymptotic standard errors are shown to remain valid, but rates of convergence are affected and the limit distribution of the regression coefficients is shown to be one dimensional. Some asymptotic representations of partial sums of SV functions and central limit theorems with SV weights are given that assist in the development of a regression theory. Multivariate regression and polynomial regression with SV functions are considered and shown to be equivalent, up to standardization, to regression on a polynomial in a logarithmic trend. The theory involves second-, third-, and higher-order forms of slow variation. Some applications to the asymptotic theory of nonlinear trend regression are explored.The author thanks two referees and Pentti Saikkonen for comments and suggestions, Sidney Resnick for references on second-order regular variation, and a Kelly Fellowship and the NSF for partial research support under grants SBR 97-30295 and SES 04-142254. An original draft of the paper was written in June 2000 and circulated under the title “Regression with Slowly Varying Regressors.”