A paradox in least-squares estimation of
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Z.D. Bai; Meihui Guo
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Article
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1999
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Elsevier Science
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English
β 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 ΓΏnite rth moment, for r β [1; 2). We give a concrete example to show that the least-squares estimator of the slope parameter is inconsistent