Relation between Pearsonian Coefficients of Distributions of Least Squares Estimators and the Disturbance Term
最小二乘估计量分布与扰动项分布的 Pearson 系数关系
In this note we derive the third and fourth moments of ordinary least squares estimators of coefficients in a general linear regression model without making any assumption regarding the form of distribution of the disturbance term. These results are then used to establish a relationship between Pearsonian coefficients of the distributions of least squares estimators and the disturbance term.