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Limit distributions of least squares estimators in linear regression models with vague concepts

✍ Scribed by Volker Krätschmer


Book ID
108185483
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
350 KB
Volume
97
Category
Article
ISSN
0047-259X

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A paradox in least-squares estimation of
✍ Z.D. Bai; Meihui Guo 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 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