A CENTRAL LIMIT THEOREM FOR SYSTEMS OF REGRESSIONS
Abstract
The theory of regression on fixed variables, when the residuals are generated by a stationary process, was illuminated by the introduction of certain restrictions on the regressor vectors. These restrictions are designed to concentrate attention on cases where consistent estimates of the regression coefficients exist and the asymptotic properties of these estimates may be investigated by Fourier methods. The restric(over) tions are satisfied in most cases of regression on functions of time as well as in cases where the fixed variable is generated by some stationary process for which the sample serial correlations converge with probably one. Conditions are shown which are (together with certain restrictions on the nature of the process generating the residuals) sufficient to ensure that the estimates of the regression coefficients are asymptotically normal. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 01, 1960
- Accession Number
- AD0248651
Entities
People
- E.j. Hannan
Organizations
- University of North Carolina at Chapel Hill