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Melissa tartari yale econometrics 3 27 large sample

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Unformatted text preview: is supposed to be estimating. Melissa Tartari (Yale) Econometrics 3 / 27 Large sample properties When we refer to properties of an estimator that hold as the sample size grows without bound we are talking of asymptotic or large sample properties. Melissa Tartari (Yale) Econometrics 4 / 27 Large sample properties When we refer to properties of an estimator that hold as the sample size grows without bound we are talking of asymptotic or large sample properties. EXAMPLE: Consistency Melissa Tartari (Yale) Econometrics 4 / 27 Consistency: A Review I De…nition: let Wn be an estimator of θ based on fY1 , ..., Yn g. Then Wn is a consistent estimator of θ if 8ε > 0 P ( j Wn Melissa Tartari (Yale) θ j > ε) ! 0 as n ! ∞ Econometrics (C.7) 5 / 27 Consistency: A Review I De…nition: let Wn be an estimator of θ based on fY1 , ..., Yn g. Then Wn is a consistent estimator of θ if 8ε > 0 P ( j Wn θ j > ε) ! 0 as n ! ∞ (C.7) Meaning: consistency concerns how far Wn is likely to be from the parameter it is supposed to be e...
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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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