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

Kenneth West () and Zifeng Zhao

Statistics & Probability Letters, 2016, vol. 115, issue C, 54-59

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: Least squares bias; Mean squared error; Negative moments (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:115:y:2016:i:c:p:54-59

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DOI: 10.1016/j.spl.2016.03.021

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