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Least Squares Estimation of Constants in a Linear Recession Model

✍ Scribed by James, L. Douglas; Thompson, William O.

Book ID
119735022
Publisher
American Geophysical Union
Year
1970
Tongue
English
Weight
471 KB
Volume
6
Category
Article
ISSN
0043-1397

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A paradox in least-squares estimation of
A paradox in least-squares estimation of linear regression models
✍ 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