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# 7 18 27 asymptotic normality of the ols estimator

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Unformatted text preview: hat βj are approximately normally distributed, at least in large samples. Melissa Tartari (Yale) Econometrics 17 / 27 Asymptotic Normality of the OLS Estimator Theorem 5.2: Under ass.s LR.1 through LR.5, ˆ βj βj a ˆ se βj Melissa Tartari (Yale) Econometrics N (0, 1) (5.7) 18 / 27 Asymptotic Normality of the OLS Estimator Theorem 5.2: Under ass.s LR.1 through LR.5, ˆ βj βj a ˆ se βj N (0, 1) (5.7) IMPLICATIONS: Melissa Tartari (Yale) Econometrics 18 / 27 Asymptotic Normality of the OLS Estimator Theorem 5.2: Under ass.s LR.1 through LR.5, ˆ βj βj a ˆ se βj N (0, 1) (5.7) IMPLICATIONS: since as n &quot; the t distribution approaches the normal distribution it is legitimate to write ˆ βj βj a tn K 1 ˆ se βj Melissa Tartari (Yale) Econometrics 18 / 27 Asymptotic Normality of the OLS Estimator Theorem 5.2: Under ass.s LR.1 through LR.5, ˆ βj βj a ˆ se βj N (0, 1) (5.7) IMPLICATIONS: since as n &quot; the t distribution approaches the normal distribution it is legitimate to write ˆ βj βj a tn K 1 ˆ se βj the t testing and the construction of CI are carried out exactly as under LR.6. Melissa Tartari (Yale) Econometrics 18 / 27 Asymptotic N...
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## This note was uploaded on 02/13/2014 for the course ECON 350 taught by Professor Donaldbrown during the Fall '10 term at Yale.

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