ABNORMAL-BEHAVIOR OF THE LEAST-SQUARES ESTIMATE OF MULTIPLE-REGRESSION

Authors
CHEN XR AN HZ
Citation
Xr. Chen et Hz. An, ABNORMAL-BEHAVIOR OF THE LEAST-SQUARES ESTIMATE OF MULTIPLE-REGRESSION, Science in China. Series A, Mathematics, Physics, Astronomy & Technological Sciences, 40(3), 1997, pp. 234-242
Citations number
4
Categorie Soggetti
Multidisciplinary Sciences
Journal title
Science in China. Series A, Mathematics, Physics, Astronomy & Technological Sciences → ACNP
ISSN journal
10016511
Volume
40
Issue
3
Year of publication
1997
Pages
234 - 242
Database
ISI
SICI code
1001-6511(1997)40:3<234:AOTLEO>2.0.ZU;2-J
Abstract
An example is given to reveal the abnormal behavior of the least squar es estimate of multiple regression. It is shown that the least squares estimate of the multiple linear regression may be ''improved'' in the sense oi weak consistency when nuisance parameters are introduced int o the model. A discussion on the implications oi this finding is given .