Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors

Norbert Christopeit and Michael Massmann
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Norbert Christopeit: University of Bonn

No 12-109/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established for predetermined stochastic regressors. The main result covers a class of models which falls outside the applicability of what is presently available in the literature. An application to the identification of economic models with adaptive learning is discussed.

Keywords: linear regression; least-squares; consistency; stochastic regressors; adaptive learning; decreasing gain (search for similar items in EconPapers)
JEL-codes: C13 C22 D83 D84 (search for similar items in EconPapers)
Date: 2012-10-12
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20120109

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