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G 15 27 large sample inference in the mlrm i we know

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Unformatted text preview: e following sequence of real numbers converges to Φ (z ), that is, to the real number corresponding to the area below the density of a standard normal and to the left of z : fPr ob (Z1 Melissa Tartari (Yale) z ) , Pr ob (Z2 Econometrics z ) , ...g . 15 / 27 Large Sample Inference in the MLRM I ˆ We know that under LR.1 - LR.6, βj jx Melissa Tartari (Yale) Econometrics N. 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 . 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 , Melissa Tartari (Yale) 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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