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19 27 asymptotic normality of the ols estimator

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Unformatted text preview: ormality of the OLS Estimator WARNING: Melissa Tartari (Yale) Econometrics 19 / 27 Asymptotic Normality of the OLS Estimator WARNING: if n is not very large, then the t distribution can be a poor approximation to the distribution of the t statistics when u Melissa Tartari (Yale) Econometrics N. 19 / 27 Asymptotic Normality of the OLS Estimator WARNING: if n is not very large, then the t distribution can be a poor approximation to the distribution of the t statistics when u N . the quality of the approximation depends not just on n, but on the df = n K 1: with more indep vars in the model, a larger sample size is usually needed to use the t approximation. Melissa Tartari (Yale) Econometrics 19 / 27 Asymptotic Normality of the OLS Estimator WARNING: if n is not very large, then the t distribution can be a poor approximation to the distribution of the t statistics when u N . the quality of the approximation depends not just on n, but on the df = n K 1: with more indep vars in the model, a larger sample size is usually needed to use the t approximation. Theorem 5.2 requires...
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