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LEAST SQUARES VERSUS MINIMUM ABSOLUTE DEVIATIONS ESTIMATION IN LINEAR MODELS

✍ Scribed by Hoyt G. Wilson

Book ID
109166703
Publisher
Decision Sciences Institute, Georgia State University
Year
1978
Tongue
English
Weight
560 KB
Volume
9
Category
Article
ISSN
0011-7315

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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