Does adding data always improve linear regression estimates?

A.V. den Boer

Statistics & Probability Letters, 2013, vol. 83, issue 3, 829-835

Abstract: Intuitively one might expect that the quality of statistical estimates cannot worsen if they are based on more data. We show in a least-squares linear regression setting that this intuition is wrong. Adding data may worsen the quality of parameter estimates, and in fact may even cause a design sequence to lose strong consistency.

Keywords: Least-squares linear regression; Strong consistency; Inconsistency (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2012.12.001

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