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Large Sample Point Estimation and Tests of Hypotheses

  • Thomas B. Fomby
  • Stanley R. Johnson
  • R. Carter Hill

Abstract

In the last chapter it was shown that certain properties of estimators and test statistics hold for any given sample size T provided appropriate assumptions are satisfied. In general, the extent of the conclusions depends upon the extent of the assumptions; best linear unbiased was provided with the assumption of independent and identically distributed errors while the additional assumption of normality of the errors lead to minimum variance unbiased efficiency and the elimination of the linearity requirement. Unfortunately, such strong results as minimum variance unbiased efficiency are not always obtainable in econometric modeling. For example, in feasible generalized least squares, lagged dependent variable models, and simultaneous equations, the derivation of small sample properties of estimators is not generally possible. Instead, the evaluation of these estimators must be based on their behavior in samples of infinite size. The idea of large sample efficiency involves new concepts yet to be discussed.

Keywords

Cumulative Distribution Function Maximum Likelihood Estimator Asymptotic Distribution Consistent Estimator Asymptotic Variance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Springer Science+Business Media New York 1984

Authors and Affiliations

  • Thomas B. Fomby
    • 1
  • Stanley R. Johnson
    • 2
  • R. Carter Hill
    • 3
  1. 1.Department of EconomicsSouthern Methodist UniversityDallasUSA
  2. 2.The Center for Agricultural and Rural DevelopmentIowa State UniversityAmesUSA
  3. 3.Department of EconomicsLouisiana State UniversityBaton RougeUSA

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