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Non-Existence of the First Moment of the Adjusted Least Squares Estimator in Multivariate Errors-in-Variables Model

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Abstract

The linear normal multivariate errors-in-variables model is considered. The model involves an equation error. It is proved in both structural and functional cases that the first moment of the adjusted least squares estimator does not exist.

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References

  • Cheng CL, Van Ness JW (1999) Statistical regression with measurement error. Arnold, London

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Authors and Affiliations

  1. Institute of Statistical Science, Academia Sinica, 115, Taipei, Republic of China

    Chi-Lun Cheng

  2. Department of Mechanics and Mathematics, National Taras Shevchenko University, Vladimirskaya st. 64, 01033, Kiev, Ukraine

    Alexander Kukush

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  1. Chi-Lun Cheng
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  2. Alexander Kukush
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Correspondence to Alexander Kukush.

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Cheng, CL., Kukush, A. Non-Existence of the First Moment of the Adjusted Least Squares Estimator in Multivariate Errors-in-Variables Model. Metrika 64, 41–46 (2006). https://doi.org/10.1007/s00184-006-0029-z

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  • DOI: https://doi.org/10.1007/s00184-006-0029-z

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