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15 Cards in this Set

  • Front
  • Back
Asymptotic bias
see inconsistency
Asymptotic Confidence Interval
a confidence interval that is approximately valid in large sample sizes
Asymptotic Normality
the sampling distribution of a properly normalized estimator converges to the standard normal distribution
Asymptotic Properties
properties of estimators and test statistics that apply when the sample size grows without bound
Asymptotic Standard Error
a sample error that is valid in large samples
Asymptotic t Statistics
a t statistic that has an approximate standard normal distribution in large samples
Asymptotic Variance
the square of the value we must divide an estimator by in order to obtain an asymptotic standard normal distribution
Asymptotically Efficient
for consistent estimators with asymptotically normal distributions, the estimator with the smallest asymptotic variance
Auxiliary Regression
a regression used to compute a test statistic- such as the test statistics for heteroskedasticity and serial correlation- or any other regression that does not estimate the model of primary interest
Consistency
an estimator converges in probability to the correct population value as the sample size grows
inconsistency
the difference between the probability limit of an estimator and the parameter value
Lagrange Multiplier (LM) Statistic
a test statistic with large-sample justification that can be used to test for omitted variables, heteroskedasticity, and serial correlation, among other model specification problems
Large Sample Properties
see 'asymptotic properties'
n-R-Squared Statistic
see 'Lagrange Multiplier Statistic'
Score Statistic
see 'Lagrange Multiplier Statistic'