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 ...
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. ...