intro-ects-handout-6

intro-ects-handout-6 - Introductory Econometrics ECON0701...

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Introductory Econometrics ECON0701 (2009) 86 6. Multiple regression analysis: OLS asymptotics previous sections: f nite sample, or small sample, or exact prop- erties of the OLS estimators these properties rely on assumptions MLR1 to MLR6 What if the errors are not normally distributed (i.e., MLR6 does not hold)? this section: asymptotic properties or largesampleproperties of the OLS estimators mainly focuses on 2 issues: (a) Does the distribution of b β j , the OLS estimator of β j ,collapse on a particular value (i.e., become heavily concentrated on the neighborhood of that value) as the sample size becomes very large? (b) Does the distribution of b β j approximate a known form (e.g., the normal distribution) as the sample size becomes very large? all of the asymptotic properties are ultimately based on laws of large numbers and central limit theorems The material in this section are fairly technical, but their prac- tical implications are straightforward. 6.1. Consistency unbiasedness of estimators, although important, cannot always be achieved although not all useful estimators are unbiased, virtually all economists agree that consistency is a minimal requirement for an estimator.
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intro-ects-handout-6 - Introductory Econometrics ECON0701...

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