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Strong consistency of least-squares estimation in linear regression models with vague concepts

✍ Scribed by Volker Krätschmer

Book ID: 108185460
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 288 KB
Volume: 97
Category: Article
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2005.04.009

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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