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The least squares estimator of \\({\\mathbf b}\\) is popular because of its computational simplicity and mathematical beauty, especially in the Gaussian case. The \\(M\\)-estimator of \\({\\mathbf b}\\) has been introduced more recently because of its robust properties. However, to ensure strong consistency of these estimators, some moment conditions on the distributions of \\({\\mathbf x}_t\\) and \\(\\varepsilon_t\\) must be imposed. However, in some practical problems, it is difficult to verify any such assumption on the distributions of \\({\\mathbf x}_t\\) and \\(\\varepsilon_t\\). Hence, we seek a new procedure to obtain a strongly consistent estimator of \\({\\mathbf b}\\) under mild assumptions on the distributions of \\({\\mathbf x}_t\\) and \\(\\varepsilon_t\\). For this purpose, we make the following assumptions:    (i) The series \\(\\{(y_t, {\\mathbf x}_t^\\tau)\\}\\) is a stationary and ergodic sequence with the same distribution as \\((y, {\\mathbf x}^\\tau)\\) which satisfies (1); (ii) \\({\\mathbf x}\\) is not degenerate, i.e. there is no nonzero vector \\({\\mathbf c}\\) such that \\({\\mathbf c}^\\tau {\\mathbf x}\\) is a degenerate random variable; (iii) The series \\(\\{\\varepsilon_t\\}\\) is i.i.d., and \\(\\varepsilon_t\\) is independent of \\(\\{x_s: s\\leq t\\}\\); hence, \\(\\varepsilon\\) is independent of \\({\\mathbf x}\\) in model 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