Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152556 | Statistics & Probability Letters | 2016 | 6 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Kenneth D. West, Zifeng Zhao,