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Regressor and disturbance have moments of all orders, least squares estimator has none

Author

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  • West, Kenneth D.
  • Zhao, Zifeng

Abstract

We construct an example in which the least squares estimator has unbounded bias and no moments, even though the regressor and disturbance have moments of all orders and are independently distributed across observations.

Suggested Citation

  • West, Kenneth D. & Zhao, Zifeng, 2016. "Regressor and disturbance have moments of all orders, least squares estimator has none," Statistics & Probability Letters, Elsevier, vol. 115(C), pages 54-59.
    • Handle: RePEc:eee:stapro:v:115:y:2016:i:c:p:54-59
    DOI: 10.1016/j.spl.2016.03.021
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