CONSISTENCY OF LS ESTIMATES OF MULTIPLE-REGRESSION UNDER A LOWER ORDER MOMENT CONDITION

Authors
CHEN XR
Citation
Xr. Chen, CONSISTENCY OF LS ESTIMATES OF MULTIPLE-REGRESSION UNDER A LOWER ORDER MOMENT CONDITION, Science in China. Series A, Mathematics, Physics, Astronomy & Technological Sciences, 38(12), 1995, pp. 1420-1431
Citations number
9
Categorie Soggetti
Multidisciplinary Sciences
Journal title
Science in China. Series A, Mathematics, Physics, Astronomy & Technological Sciences → ACNP
ISSN journal
10016511
Volume
38
Issue
12
Year of publication
1995
Pages
1420 - 1431
Database
ISI
SICI code
1001-6511(1995)38:12<1420:COLEOM>2.0.ZU;2-2
Abstract
Consider the multiple regression model Y-i=x'(i) beta+e(i), 1 less tha n or equal to i less than or equal to n, n greater than or equal to 1. Suppose that the random errors e(1), e(2),... are independent, distri buted identically or not, and possess finite moment of order r, 1 less than or equal to r<2. This paper gives the necessary and sufficient c onditions on {x(i)) for weak consistency of <(beta(n))over bar> the LS estimate of beta.