Regressor and disturbance have moments of all orders, least squares estimator has none
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Publication:286456
DOI10.1016/j.spl.2016.03.021zbMath1369.62158OpenAlexW2315740609MaRDI QIDQ286456
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
Cites Work
- Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation
- 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
- Sequential shrinkage estimation in the general linear model
- The Existence of the First Negative Moment Revisited
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