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Melissa tartari yale econometrics 24 27 part ii non

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Unformatted text preview: s the best …tting N and helps us make comparisons). This result does not surprise us since under LR.1 through LR.6 the OLS estimator has an exact normal distribution and the histogram is an estimate of that distribution. By increasing the size of each sample (namely M ) you see that the distribution becomes more and more concentrated (as it should, by consistency of the OLS estimator). Melissa Tartari (Yale) Econometrics 24 / 27 Part II: Non-Normal Disturbances I Now we consider a di¤erent distributional assumption for u , namely we assume u Uniform [ 1, 1] where the choice of the support is meant to preserve comparability with the previous example in terms of the …rst two moments (indeed you can verify that E [u ] = 0 and Var [u ] ' 0.66). Melissa Tartari (Yale) Econometrics 25 / 27 Part II: Non-Normal Disturbances I Now we consider a di¤erent distributional assumption for u , namely we assume u Uniform [ 1, 1] where the choice of the support is meant to preserve comparability with the previous example in terms of the …rst two moments (indeed you can verify that E [u ] = 0 and Var [u ] ' 0.66). Once again, In STATA I draw N samples from the population, for each of them I compute the OLS estimates of the "unknown&quo...
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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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