, Volume 64, Issue 1, pp 41-46
Date: 14 Feb 2006

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.