𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The inefficiency of the least squares estimator and its bound

✍ Scribed by Yang Hu


Publisher
Springer
Year
1990
Tongue
English
Weight
269 KB
Volume
11
Category
Article
ISSN
0253-4827

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Tail behavior of the least-squares estim
✍ Jana JurečkovΓ‘; Roger Koenker; Stephen Portnoy πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 113 KB

The tail behavior of the least-squares estimator in the linear regression model was studied in He et al. (Econometrica 58 (1990) 1195) under a ΓΏxed design for ΓΏnite n. We now consider a random design matrix Xn and the case n β†’ ∞ and study the probability P 0 (max16i6n |x i Rn | ΒΏ n) with n = F -1 (1