Lecture 2 – Asymptotic Theory Review of Some Basic Concept讲座2–渐近理论回顾的一些基本概念.docVIP

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Lecture 2 – Asymptotic Theory Review of Some Basic Concept讲座2–渐近理论回顾的一些基本概念.doc

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Lecture 2 – Asymptotic Theory Review of Some Basic Concept讲座2–渐近理论回顾的一些基本概念

Lecture 2 – Asymptotic Theory: Review of Some Basic Concepts (Reference – 2.1, Hayashi) Before we develop a large sample theory for time series regressions, it will be useful to quickly review some fundamental concepts that you should be familiar with from Econ 671. Convergence of sequences of random variables Strong and weak laws of large numbers Central Limit Theorem Convergence of Sequences of Random Variables (and Random Vectors) Let {zn} denote a sequence of random variables, z1, z2, …, with cumulative distribution functions (c.d.f. ) F1, F2,…, respectively. Definition: Convergence in Probability {zn} converges in probability to the constant α if for any ε 0, In this case, we write or plim zn = α. Definition: Almost Sure Convergence {zn} converges almost surely (a.s) to the constant α if In this case, we write . Note: implies that , though the reverse is not true. In econometric applications, where the zn’s will be estimators, the distinction is not of practical importance. That is, convergence in probability will be sufficient for our needs. However, it is sometimes easier to formulate a set of assumptions to prove a.s. convergence, so that in econometric theory the stronger convergence criteria is often more useful. Note: Both of these convergence criteria extend to the case where zn and α are k-dimensional by applying the definition element by element. Definition: Convergence in Distribution {zn} converges in distribution to the random variable z if the sequence of c.d.f.’s {Fn} converges to F, the c.d.f. of z, at all continuity points of F. In this case, we write and we call F the asymptotic (or limiting) distribution of zn. Note: If zn is a sequence of k-dimensional random vectors with joint c.d.f.s Fn, then {zn} converges in distribution to the k-dimensional random vector z if {Fn} converges to F, the joint c.d.f. of z, at all continuity points of F. The role of these convergence criteria in econometrics – Let denote an