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Section 3: Asymptotics for OLS

MC Caetano - 2007 - works.bepress.com
2. Without the normality assumption, we can't derive the distribution of ̂ β. The solution for
this problem is to use asymptotic theory to derive asymptotic distributions of this estimator as
we increase the sample size. Pay special attention to the word” asymptotic”. This means ...
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[PDF] A Discontinuity Test of Endogeneity

[PDF] from colgate.edu
MC Caetano - websv03b.colgate.edu
Abstract This paper develops a nonparametric test of endogeneity without the need of
instrumental variables. The test ensues from the novel observation that the potentially
endogenous variable x is often of a nature such that the distribution of the unobservable q ...
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Extra Exercises on Asymptotics (Tomas Rau Notes)

MC Caetano - 2006 - works.bepress.com
(1)(Amemiya 3.10) Suppose y= y∗+ u and x= x∗+ v, where each variable is a vector of n
components. Assume y∗ and x∗ are nonstochastic and (ui, vi) is a bivariate iid random
variable with mean 0 and constant variances σ2 u, σ2 v, respectively and covariance σuv. ...
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