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

DOI10.1016/J.SPL.2016.03.021MaRDI QIDQ286456zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

mean squared errorleast squares biasnegative moments

Mathematics Subject Classification ID

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

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Cites work

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

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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