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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 13-151/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
This paper provides an example of a linear regression model with predetermined stochastic regressors for which the sufficient condition for strong consistency of the ordinary least squares estimator by Lai & Wei (1982, Annals of Statistics) is not met. Nevertheless, the estimator is strongly consistent, as shown in a companion paper, cf. Christopeit & Massmann (2013b). This is intriguing because the Lai & Wei condition is the best currently available and is referred to as “in some sense the weakest possible”. Moreover, the example discussed in this paper arises naturally in a class of macroeconomic models with adaptive learning, the estimation of which has recently gained popularity amongst researchers and policy makers.
Schlagwörter: 
least-squares regression
stochastic regressors
strong consistency
minimal sufficient condition
adaptive learning
JEL: 
C22
C51
D83
Dokumentart: 
Working Paper
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