Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends

ABSTRACT

We propose a general method of modeling deterministic trends for autoregressions. The method relies on the notion of L ₂-approximable regressors previously developed by the author. Some facts from the theory of functions play an important role in the proof. In its present form, the method encompasses slowly growing regressors, such as logarithmic trends, and leaves open the case of polynomial trends.