Econometrica: Jan 1973, Volume 41, Issue 1

An Analysis of the Properties of the Exact Finite Sample Distribution of a Nonconsistent GCL Structural Variance Estimator

https://doi.org/0012-9682(197301)41:1<59:AAOTPO>2.0.CO;2-W
p. 59-65

Donald H. Ebbeler, James B. McDonald

An asymptotic expansion of a confluent hypergeometric series is used to approximate the exact finite sample distribution function of a nonconsistent GCL structural variance estimator. A theoretical result is used to motivate the specification of a simple algorithm under which we may accept or reject the use of the asymptotic distribution function of the GCL estimator to approximate the exact distribution function.

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