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Unformatted text preview: ³ x tk x tj ´ 2 µ < 1 Asymptotic Behavior Proposition 2.5 Under A 2.12.5, 2.7 a) (asymptotic distribution of b ) The OLSE b of & is consistent and asymptotically normal with Avar ( b ) = ± 2 h E & x t x t ±i & 1 b) (consistent estimation of asymptotic variance) The quantity Avar ( b ) is consistently estimated by \ Avar ( b ) = ^ ± 2 ² P x t x t ³ & 1 Asymptotic Behavior continued c) (asymptotic distribution of test statistics) Under H : & = & , t statistic is asymptotically distributed as N (0 ; 1) Under H : R& = r , # r & F is asymptotically distributed as ± 2 (# r )...
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 Fall '08
 Staff
 Statistics, conditional homoskedasticity

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