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A paradox in least-squares estimation of linear regression models

Author

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  • Bai, Z. D.
  • Guo, Meihui

Abstract

This note considers a paradox arising in the least-squares estimation of linear regression models in which the error terms are assumed to be i.i.d. and possess finite rth moment, for r[set membership, variant][1,2). We give a concrete example to show that the least-squares estimator of the slope parameter is inconsistent when the intercept parameter of the model is given. However, surprisingly this estimator is consistent when the intercept parameter is intendedly assumed to be unknown and re-estimated simultaneously with the slope parameter.

Suggested Citation

  • Bai, Z. D. & Guo, Meihui, 1999. "A paradox in least-squares estimation of linear regression models," Statistics & Probability Letters, Elsevier, vol. 42(2), pages 167-174, April.
    • Handle: RePEc:eee:stapro:v:42:y:1999:i:2:p:167-174
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    References listed on IDEAS

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    1. Lai, T. L. & Robbins, Herbert & Wei, C. Z., 1979. "Strong consistency of least squares estimates in multiple regression II," Journal of Multivariate Analysis, Elsevier, vol. 9(3), pages 343-361, September.
    2. Gui-Jing, Chen & Lai, T. L. & Wei, C. Z., 1981. "Convergence systems and strong consistency of least squares estimates in regression models," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 319-333, September.
    3. DRYGAS, Hilmar, 1976. "Weak and strong consistency of the least squares estimators in regression models," LIDAM Reprints CORE 236, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    Cited by:

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