Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors

Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established for predetermined stochastic regressors. The main result covers a class of models which falls outside the applicability of what is presently available in the literature. An application to the identification of economic models with adaptive learning is discussed.

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Year of publication:	2012-10-12
Authors:	Christopeit, Norbert ; Massmann, Michael
Institutions:	Tinbergen Instituut
Subject:	linear regression \| least-squares \| consistency \| stochastic regressors \| adaptive learning \| decreasing gain

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 12-109/III
Classification:	C13 - Estimation ; C22 - Time-Series Models ; D83 - Search, Learning, Information and Knowledge ; D84 - Expectations; Speculations
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011256174