Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2012-10-12
Number: 12-109/III
Author-Name: Norbert Christopeit
Author-Workplace-Name: University of Bonn
Author-Name: Michael Massmann
Author-Workplace-Name: VU University Amsterdam
Title: Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors
Abstract: 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.
Classification-JEL: C13, C22, D83, D84
Keywords: linear regression, least-squares, consistency, stochastic regressors, adaptive learning, decreasing gain
File-Url: https://papers.tinbergen.nl/12109.pdf
File-Format: application/pdf
File-Size: 369207 bytes
Handle: RePEc:tin:wpaper:20120109