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Relative Efficiency with Equivalence Classes of Asymptotic Covariances

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Author Info
David M. Mandy (University of Missouri-Columbia)
Carlos Martins-Filho (Oregon State University)

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Abstract

White's (1984) concept of asymptotic variance is shown to allow some ambiguities when used to study asymptotic efficiency. These ambiguities are resolved with some mild conditions on the estimators being studied, because then White's asymptotic variance is an equivalence class in which efficiency conclusions are invariant across members of the class. Among the extant efficiency definitions, the liminf-based definition (White 1994, p. 136) is most informative even though identical conclusions can be obtained under our conditions with earlier definitions, but there are still some notions of efficiency allowed by White's asymptotic variance that can only be detected by weaker efficiency definitions.

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Paper provided by EconWPA in its series Econometrics with number 9805001.

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Length: 19 pages
Date of creation: 13 May 1998
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Handle: RePEc:wpa:wuwpem:9805001

Note: 19 pages (title page, 18 numbered pages, 5 page appendix, references), Tex .dvi file
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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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  1. White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-99, March. [Downloadable!] (restricted)
  2. Bates, Charles E. & White, Halbert, 1993. "Determination of Estimators with Minimum Asymptotic Covariance Matrices," Econometric Theory, Cambridge University Press, vol. 9(04), pages 633-648, August. [Downloadable!]
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  3. repec:cup:etheor:v:9:y:1993:i:4:p:633-48 is not listed on IDEAS
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