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| A NOTE ON THE CONSISTENCY OF LS ESTIMATES IN LINEAR MODELS |
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Citation： |
Chen Xiru.A NOTE ON THE CONSISTENCY OF LS ESTIMATES IN LINEAR MODELS[J].Chinese Annals of Mathematics B,2001,22(4):471~474 |
| Page view： 1121
Net amount： 835 |
Authors： |
Chen Xiru; |
Foundation： |
Project supported by the National Natural Science Foundation of China (No.19631040). |
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| Abstract： |
It is well known that when the random errors are iid. with finite
variance, the week and the strong consistency of LS estimate of multiple
regression coefficients are equivalent. This note, by constructing
a counter-example, shows that this equivalence no longer holds
true in case that the random errors possess only the $r$-th moment
with $1\leq r< 2$. |
Keywords： |
Linear regression model, Consistency, LS estimate |
Classification： |
\60E05 |
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