A NOTE ON THE CONSISTENCY OF LS ESTIMATES IN LINEAR MODELS

作     者：CHEN XIRU The Graduate School at Beijing, University of Science and Technology of China, Beijing 100039, China. CHEN XIRU The Graduate School at Beijing, University of Science and Technology of China, Beijing 100039, China.

作者机构：The Graduate School at Beijing University of Science and Technology of China Beijing 100039 China 

出 版 物：《Chinese Annals of Mathematics,Series B》 (数学年刊（B辑英文版）)

年 卷 期：2001年第22卷第4期

页      面：471-474页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：the National Natural Science Foundation of China (No.19631040) 

主　　题：相容性 线性回归模型 最小二乘估计 有限方差 

摘      要：It is well known that when the random errors are iid. with finite variance, the week and the strong consiStency of LS estimate of multiple regression coefficients are equivalent. This note, by constructing a counter-example, shows that this equivalence no longer holds true in case that the random errors possess only the r-th moment with 1≤5 T 2.