slides_Ch5_W[1]

We will see that the ols estimator of j has

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Unformatted text preview: hout bound. We will see that: The OLS estimator of βj has satisfactory large sample properties under assumptions LR.1-LR.4. Melissa Tartari (Yale) Econometrics 2 / 27 Large Sample Theory: A Premise In addition to …nite sample properties it is important to know the asymptotic or large sample properties of estimators and test statistics. These properties are not de…ned for a particular sample size; rather, they are de…ned as the sample size grows without bound. We will see that: The OLS estimator of βj has satisfactory large sample properties under assumptions LR.1-LR.4. Even without normality (namely, LR.6), the t and F statistics have approximately t and F distributions in large sample. Melissa Tartari (Yale) Econometrics 2 / 27 A Review of Finite sample properties Finite sample properties of estimators are properties that hold for a sample of any size, no matter how large or small. Melissa Tartari (Yale) Econometrics 3 / 27 A Review of Finite sample properties Finite sample properties of estimators are properties that hold for a sample of any size, no matter how larg...
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