Abstract: Let. Suppose that the random errors e1e2 are i.i.d., with a common distribution F belonging to the class
for some
. In this paper we obtain a sufficient condition for the strong consistency of the Least Sequares Estimate (LSE)
of
. The condition is necessary in the following sense: If the condition is not satisfied, then for some
,
rails to converge a.s. to
.
Key words and phrases: Least squares estimate, linear models, strong consistency.