slides_Ch5_W[1]

The exact normality of j hinges crucially on the

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: conometrics 16 / 27 Large Sample Inference in the MLRM I ˆ We know that under LR.1 - LR.6, βj jx N. This distributional result was the basis for deriving the t and F distributions of the t and F statistics used to test hypothesis about the βj0 s . ˆ 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 , ˆ βj N , and Melissa Tartari (Yale) Econometrics 16 / 27 Large Sample Inference in the MLRM I ˆ We know that under LR.1 - LR.6, βj jx N. This distributional result was the basis for deriving the t and F distributions of the t and F statistics used to test hypothesis about the βj0 s . ˆ 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 , ˆ βj N , and the t and the F statistics will NOT have the t and F distributions. Melissa Tartari (Yale) Econometrics 16 / 27 Large Sample Inference in the MLRM I ˆ We know that under LR.1 - LR.6, βj jx N. This distributional result was the basis for deriving the t and F distributions of the t and F statistics used...
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