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Consistency involves the behavior of the sampling

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Unformatted text preview: ncy is a minimal requirement of an estimator). Consistency involves the behavior of the sampling distribution of the estimator as n ". Melissa Tartari (Yale) Econometrics 7 / 27 Consistency: A Review IV Unbiased estimators are not necessarily consistent. Melissa Tartari (Yale) Econometrics 8 / 27 Consistency: A Review IV Unbiased estimators are not necessarily consistent. EXAMPLE: we have shown that Bias [Y1 ] = 0; however Var [Y1 ] = σ2 and so Var [Y1 ] 6= 0 and ? n. This estimator uses only the …rst observation. Y1 is an unbiased but inconsistent estimator of µ. Melissa Tartari (Yale) Econometrics 8 / 27 Consistency: A Review IV Unbiased estimators are not necessarily consistent. EXAMPLE: we have shown that Bias [Y1 ] = 0; however Var [Y1 ] = σ2 and so Var [Y1 ] 6= 0 and ? n. This estimator uses only the …rst observation. Y1 is an unbiased but inconsistent estimator of µ. Unbiased estimators whose variance ! 0 as n ! ∞ are consistent. Unbiased estimators that use the entire sample will usually satisfy this requirement. Melissa Tartari (Yale) Econometrics 8 / 27 Consistency: A Review IV Unbi...
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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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