对线性回归模型Ｙ＝Ｘβ＋ε，证明了回归系数β的Ｐｉｔｍａｎ估计的渐近有效性，并推广了Ｐｏｒｔ和Ｓｔｏｎｅ［５］关于位移参数的有关结果，去掉了及文［４］中所施加的矩限制．

Let Y = Xβ+εbe a linear regression model. In this paper,we prove that the Pitman estimator of g has asymptotic efficiency which generalizes the result of Port and Stone for the location parameter case. We do not fleed the existence of any moment for ε.