Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

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://www.jstor.org/stable/1913883
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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