A paradox in least-squares estimation of linear regression models

DOI10.1016/S0167-7152(98)00205-3MaRDI QIDQ1284063zbMATHOpenAlexFDO

Authors Zhidong Bai, Meihui Guo

Publication date 10 June 1999

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00205-3

zbMATH Keywords

consistencyleast-squares estimatorrth moment

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

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Cites work

• scientific article; zbMATH DE number 3856232 (Why is no real title available?)
• Abnormal behavior of the least squares estimate of multiple regression
• Convergence systems and strong consistency of least squares estimates in regression models
• Strong consistency of least squares estimates in multiple regression II
• Weak and strong consistency of the least squares estimators in regression models

Cited in

(8)

• Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
• QML estimators in linear regression models with functional coefficient autoregressive processes
• Regressor and disturbance have moments of all orders, least squares estimator has none
• A simple heuristic note on random slopes and intercepts coexisting in regression
• Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
• Abnormal behavior of the least squares estimate of multiple regression
• An ancillarity paradox which appears in multiple linear regression
• The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test

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