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Iterative Weighted Semiparametric Least Squares Estimation in Repeated Measurement Partially Linear Regression Models

✍ Scribed by Gemai Chen; Jin-hong You

Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2005
Tongue
English
Weight
236 KB
Volume
21
Category
Article
ISSN
0168-9673

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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