Strong Consistency of Least Squares Estimators in Linear Regression Models

For the linear regression model y = X + u with stochastic regressor matrix, strong consistency of the least squares estimator of is proved in the case of martingale difference errors and predetermined regressors and for the case where errors and regressors are orthogonal up to the second order. The results obtained are applied to parameter estimation in autoregressive processes, leading to strong consistency if the errors are quasi-independent up to the fourth order.