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15 Cards in this Set
- Front
- Back
Asymptotic bias
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see inconsistency
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Asymptotic Confidence Interval
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a confidence interval that is approximately valid in large sample sizes
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Asymptotic Normality
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the sampling distribution of a properly normalized estimator converges to the standard normal distribution
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Asymptotic Properties
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properties of estimators and test statistics that apply when the sample size grows without bound
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Asymptotic Standard Error
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a sample error that is valid in large samples
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Asymptotic t Statistics
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a t statistic that has an approximate standard normal distribution in large samples
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Asymptotic Variance
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the square of the value we must divide an estimator by in order to obtain an asymptotic standard normal distribution
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Asymptotically Efficient
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for consistent estimators with asymptotically normal distributions, the estimator with the smallest asymptotic variance
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Auxiliary Regression
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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
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Consistency
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an estimator converges in probability to the correct population value as the sample size grows
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inconsistency
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the difference between the probability limit of an estimator and the parameter value
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Lagrange Multiplier (LM) Statistic
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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
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Large Sample Properties
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see 'asymptotic properties'
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n-R-Squared Statistic
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see 'Lagrange Multiplier Statistic'
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Score Statistic
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see 'Lagrange Multiplier Statistic'
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