Ordinary least squares estimation of simultaneous equation systems with trended data: further results
The paper gives sufficient conditions for the consistency and asymptotic normality of OLS in linear simultaneous equation systems with trend in some exogenous variables, extending the results of Kramer (1981, 1984) to more general types of trend. When con- sistent, OLS is also shown to have the same limiting distribution as any k-class estimator with a stochastically bounded k, and to produce a consistent estimate of the error variance in the equation.