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Relative efficiency with equivalence classes of asymptotic covariances

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  • Mandy, D. M.
  • Martins-Filho, Carlos

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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Suggested Citation

  • Mandy, D. M. & Martins-Filho, Carlos, 1998. "Relative efficiency with equivalence classes of asymptotic covariances," Journal of Econometrics, Elsevier, vol. 88(1), pages 79-98, November.
    • Handle: RePEc:eee:econom:v:88:y:1998:i:1:p:79-98
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    References listed on IDEAS

    as
    1. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, July.
    2. White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-499, March.
    3. Bates, Charles E. & White, Halbert, 1993. "Determination of Estimators with Minimum Asymptotic Covariance Matrices," Econometric Theory, Cambridge University Press, vol. 9(4), pages 633-648, August.
    4. repec:cup:etheor:v:9:y:1993:i:4:p:633-48 is not listed on IDEAS
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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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