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Estimation of a structural linear regression model with a known reliability ratio

✍ Scribed by Heleno Bolfarine; Lisbeth K. Cordani

Publisher
Springer Japan
Year
1993
Tongue
English
Weight
405 KB
Volume
45
Category
Article
ISSN
0020-3157

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✍ 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