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Strong consistency of least squares estimates in multiple regression II

Author

Listed:
  • Lai, T. L.
  • Robbins, Herbert
  • Wei, C. Z.

Abstract

The strong consistency of least squares estimates in multiple regression models is established under minimal assumptions on the design and weak dependence and moment restrictions on the errors.

Suggested Citation

  • Lai, T. L. & Robbins, Herbert & Wei, C. Z., 1979. "Strong consistency of least squares estimates in multiple regression II," Journal of Multivariate Analysis, Elsevier, vol. 9(3), pages 343-361, September.
  • Handle: RePEc:eee:jmvana:v:9:y:1979:i:3:p:343-361
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    Citations

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    Cited by:

    1. Cohen, Guy & Francos, Joseph M., 2002. "Linear Least Squares Estimation of Regression Models for Two-Dimensional Random Fields," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 431-444, August.
    2. Norbert Christopeit & Michael Massmann, 2012. "Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors," Tinbergen Institute Discussion Papers 12-109/III, Tinbergen Institute.
    3. Lita da Silva, João, 2014. "Some strong consistency results in stochastic regression," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 220-226.
    4. Zhou, Xian & You, Jinhong, 2004. "Wavelet estimation in varying-coefficient partially linear regression models," Statistics & Probability Letters, Elsevier, vol. 68(1), pages 91-104, June.
    5. Norbert Christopeit & Michael Massmann, 2010. "Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning," Tinbergen Institute Discussion Papers 10-077/4, Tinbergen Institute.
    6. Guo-Liang Fan & Han-Ying Liang & Jiang-Feng Wang & Hong-Xia Xu, 2010. "Asymptotic properties for LS estimators in EV regression model with dependent errors," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 89-103, March.
    7. Krätschmer, Volker, 2006. "Strong consistency of least-squares estimation in linear regression models with vague concepts," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 633-654, March.
    8. Zhang, Weiwei & Li, Gaorong & Xue, Liugen, 2011. "Profile inference on partially linear varying-coefficient errors-in-variables models under restricted condition," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 3027-3040, November.
    9. Li, Gaorong & Feng, Sanying & Peng, Heng, 2011. "A profile-type smoothed score function for a varying coefficient partially linear model," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 372-385, February.
    10. den Boer, A.V., 2013. "Does adding data always improve linear regression estimates?," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 829-835.
    11. You, Jinhong & Chen, Gemai, 2006. "Estimation of a semiparametric varying-coefficient partially linear errors-in-variables model," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 324-341, February.
    12. Li, Gaorong & Lin, Lu & Zhu, Lixing, 2012. "Empirical likelihood for a varying coefficient partially linear model with diverging number of parameters," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 85-111.
    13. R. M. Balan & Ioana Schiopu-Kratina, 2004. "Asymptotic Results with Generalized Estimating Equations for Longitudinal data II," RePAd Working Paper Series lrsp-TRS398, Département des sciences administratives, UQO.
    14. Bai, Z. D. & Guo, Meihui, 1999. "A paradox in least-squares estimation of linear regression models," Statistics & Probability Letters, Elsevier, vol. 42(2), pages 167-174, April.
    15. Velilla, Santiago, 2001. "On the bootstrap in misspecified regression models," Computational Statistics & Data Analysis, Elsevier, vol. 36(2), pages 227-242, April.
    16. Ciuperca, Gabriela, 2009. "The M-estimation in a multi-phase random nonlinear model," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 573-580, March.
    17. repec:eee:stapro:v:134:y:2018:i:c:p:141-149 is not listed on IDEAS
    18. Wu, Tiee-Jian & Wasan, M. T., 1996. "Weighted least squares estimates in linear regression models for processes with uncorrelated increments," Stochastic Processes and their Applications, Elsevier, vol. 64(2), pages 273-286, November.
    19. Chihwa Kao, 2001. "Asymptotic Inference in Censored Regression MOdels Revisited," Center for Policy Research Working Papers 36, Center for Policy Research, Maxwell School, Syracuse University.
    20. Dzhaparidze, K. & Spreij, P., 1989. "On SLLN for martingales with deterministic variation," Serie Research Memoranda 0079, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    21. Velilla Cerdan, Santiago, 1999. "Variable deletion conficence regions and bootstrapping in linear regression," DES - Working Papers. Statistics and Econometrics. WS 6351, Universidad Carlos III de Madrid. Departamento de Estadística.

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