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Unformatted text preview: x tk x tj 2 < 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 P x t x t & 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
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