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Properties of ordinary least squares estimators in regression models with nonspherical disturbances

✍ Scribed by Denzil G. Fiebig; Michael McAleer; Robert Bartels


Book ID
107950019
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
786 KB
Volume
54
Category
Article
ISSN
0304-4076

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A paradox in least-squares estimation of
✍ 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