On the rates of convergence for moments convergence in regression models

João Lita da Silva ()
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João Lita da Silva: NOVA University of Lisbon

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2018, vol. 27, issue 2, No 11, 477-495

Abstract: Abstract In one-dimensional regression models, we establish a rate for the rth moment convergence $$(r \geqslant 1)$$ ( r ⩾ 1 ) of the ordinary least-squares estimator involving explicitly the regressors, answering to an open question raised lately by Afendras and Markatou (Test 25:775–784, 2016). An extension of the classic Theorem 2.6.1 of Anderson (The statistical analysis of time series, Wiley, New York, 1971) is also presented.

Keywords: Linear regression model; Moment convergence; Rate of convergence; 62J05; 62E20 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11749-017-0561-3

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