slides_Ch5_W[1]

For testing we need the sampling distribution of j in

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Unformatted text preview: ity: Why relevant? Consistency does not allow us to perform statistical inference: simply ˆ knowing that βj is getting closer to βj does not allow us to test hypothesis about βj . ˆ For testing we need the sampling distribution of β . j In Chapter 4 we derived the sampling distribution of the OLS estimator under LR.6. What if LR.6 does not hold? Melissa Tartari (Yale) Econometrics 11 / 27 Asymptotic Normality: A Review I Let Φ (.) denote the standard normal cumulative distribution fnc. Melissa Tartari (Yale) Econometrics 12 / 27 Asymptotic Normality: A Review I Let Φ (.) denote the standard normal cumulative distribution fnc. Let fZn jn = 1, ...g be a sequence of RVs such that for any scalar z lim Pr ob (Zn n !∞ Melissa Tartari (Yale) Econometrics z ) = Φ (z ) 12 / 27 Asymptotic Normality: A Review I Let Φ (.) denote the standard normal cumulative distribution fnc. Let fZn jn = 1, ...g be a sequence of RVs such that for any scalar z lim Pr ob (Zn n !∞ z ) = Φ (z ) Then Zn is said to have an asymptotic standard normal dist...
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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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