Non-Existence of the First Moment of the Adjusted Least Squares Estimator in Multivariate Errors-in-Variables Model
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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.
KeywordsAdjusted least squares Equation error model Functional model Infinite first moment Linear multivariate error-in-variables model Structural model
AMS Subject Classifications62J05 62H12 62H10
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