Relative Efficiency with Equivalence Classes of Asymptotic Covariances
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.
|Date of creation:||13 May 1998|
|Date of revision:|
|Note:||19 pages (title page, 18 numbered pages, 5 page appendix, references), Tex .dvi file|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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- 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.
- repec:cup:etheor:v:9:y:1993:i:4:p:633-48 is not listed on IDEAS
- White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-99, March.
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