Asymptotic properties of LS estimators in the errors-in-variables model with MD errors

Aiting Shen ()
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Aiting Shen: Anhui University

Statistical Papers, 2019, vol. 60, issue 4, No 9, 1193-1206

Abstract: Abstract In this paper, the complete convergence for weighted sums of a class of random variables is established. By using the complete convergence, we further investigate the complete consistency of LS estimators in the EV regression model with martingale difference (in short) errors. In addition, the mean consistency of LS estimators is also studied. The results obtained in the paper generalize the corresponding ones for independent random variables and some dependent random variables.

Keywords: Martingale difference sequence; Complete consistency; Mean consistency; EV regression model; LS estimator; 62F12; 60F15 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00362-016-0869-1

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