Does adding data always improve linear regression estimates?

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.

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Year of publication:	2013
Authors:	den Boer, A.V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 3, p. 829-835
Publisher:	Elsevier
Subject:	Least-squares linear regression \| Strong consistency \| Inconsistency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010616869