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A Theorem on Least Squares in Multivariate Linear Regression

✍ Scribed by Khatri, C. G.


Book ID
121507135
Publisher
American Statistical Association
Year
1967
Tongue
English
Weight
146 KB
Volume
62
Category
Article
ISSN
0162-1459

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A paradox in least-squares estimation of
✍ Z.D. Bai; Meihui Guo πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 97 KB

This note considers a paradox arising in the least-squares estimation of linear regression models in which the error terms are assumed to be i.i.d. and possess ÿnite rth moment, for r ∈ [1; 2). We give a concrete example to show that the least-squares estimator of the slope parameter is inconsistent