Relative Efficiency with Equivalence Classes of Asymptotic Covariances

David Mandy () and Carlos Martins-Filho

Econometrics from University Library of Munich, Germany

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.

JEL-codes: C10 C13 C50 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1998-05-13
New Economics Papers: this item is included in nep-ecm
Note: 19 pages (title page, 18 numbered pages, 5 page appendix, references), Tex .dvi file
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Journal Article: Relative efficiency with equivalence classes of asymptotic covariances (1998)
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