Regressor and disturbance have moments of all orders, least squares estimator has none

DOI10.1016/J.SPL.2016.03.021zbMATH Open1369.62158OpenAlexW2315740609MaRDI QIDQ286456FDOQ286456

Authors: Kenneth D. West, Zifeng Zhao 

Publication date: 20 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.spl.2016.03.021

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zbMATH Keywords

mean squared errorleast squares biasnegative moments

Mathematics Subject Classification ID

General nonlinear regression (62J02) Linear regression; mixed models (62J05)

Cites Work

• Expectation of quadratic forms in normal and nonnormal variables with applications
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Sequential shrinkage estimation in the general linear model
• The existence of the first negative moment revisited
• Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation

Cited In (2)

• Estimators of the disturbance variance in econometric models. Small- sample bias and the existence of moments
• Unbiased estimates for moments and cumulants in linear regression

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