Unformatted text preview: to test hypothesis about
the βj0 s .
The exact normality of βj hinges crucially on the normality of the
unobservable u in the population: if ui
iid from some distribution
other than N ,
N , and
the t and the F statistics will NOT have the t and F distributions. ˆ
Recall however that LR.6 plays no role in the unbiasedness of βj , nor
does it a¤ect the conclusion that βj is BLUE under LR.1-LR.5. It is
just exact inference based on t and the F statistics that requires
Melissa Tartari (Yale) Econometrics 16 / 27 Large Sample Inference in the MLRM II How can we perform inference when LR.6 fails? Should we abandon
the t and the F statistics? What shall we use in their place? Melissa Tartari (Yale) Econometrics 17 / 27 Large Sample Inference in the MLRM II How can we perform inference when LR.6 fails? Should we abandon
the t and the F statistics? What shall we use in their place?
Even though the ui0 s (hence the yi0 s ) are not normal when LR.6 does
not hold, we can invoke the CLT and conclude t...
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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.
- Fall '10