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Distributional properties of OLS estimator under non-normal disturbances. (English) Zbl 0896.62069
Summary: In a classical linear regression model, a simple technique is described for the evaluation of moments and cumulants of the OLS estimators of regression coefficients in terms of the moments and cumulants of the disturbances that need not be normally distributed. It is seen that the distribution of the OLS estimator is always closer to the normal than that of the disturbance term.
MSC:
62J05 Linear regression; mixed models
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