slides_Ch5_W[1]

For testing we need the sampling distribution of j in

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

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...
View Full Document

This note was uploaded on 02/13/2014 for the course ECON 350 taught by Professor Donaldbrown during the Fall '10 term at Yale.

Ask a homework question - tutors are online