A NOTE ON THE CONSISTENCY OF LS ESTIMATES IN LINEAR MODELS

(整期优先)网络出版时间:2001-04-14
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Itiswellknownthatwhentherandomerrorsareiid.withfinitevariance,theweekandthestrongconsistencyofLSestimateofmultipleregressioncoefficientsareequivalent.Thisnote,byconstructingacounter-example,showsthatthisequivalencenolongerholdstrueincasethattherandomerrorspossessonlyther-thmomentwith1≤r<2.