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Abnormal behavior of the least squares estimate of multiple regression |
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| Authors: | Xiru Chen Hongzhi An |
| Institution: | (1) Department of Mathematics, Graduate School, University of Science and Technology of China, 100039 Beijing, China;(2) Institute of Applied Mathematics, Chinese Academy of Sciences, 100080 Beijing, China |
| Abstract: | An example is given to reveal the abnormal behavior of the least squares estimate of multiple regression. It is shown that the least squares estimate of the multiple linear regression may be “improved” in the sense of weak consistency when nuisance parameters are introduced into the model. A discussion on the implications of this finding is given. |
| Keywords: | least squares estimation multiple regression weak consistency |
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