Abnormal behavior of the least squares estimate of multiple regression
β Scribed by Xiru Chen; Hongzhi An
- Publisher
- SP Science China Press
- Year
- 1997
- Tongue
- English
- Weight
- 379 KB
- Volume
- 40
- Category
- Article
- ISSN
- 1674-7283
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π SIMILAR VOLUMES
The tail behavior of the least-squares estimator in the linear regression model was studied in He et al. (Econometrica 58 (1990) 1195) under a ΓΏxed design for ΓΏnite n. We now consider a random design matrix Xn and the case n β β and study the probability P 0 (max16i6n |x i Rn | ΒΏ n) with n = F -1 (1
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 ΓΏnite rth moment, for r β [1; 2). We give a concrete example to show that the least-squares estimator of the slope parameter is inconsistent