What are the distributions of the estimated parameters?
Put simply, without making assumptions we know nothing about the distributions of the estimated parameters. Our task here will be to put forward a standard set of assumptions and consider their implications. A good bit of advanced econometrics concerns dealing situations where it is not obvious that the standard assumptions hold.
Big X, Little x, Fixed Regressors
The Proof Spring 2009 Spring 2009 Variance Summer 2009
Magic of one beta
Resemblance to Central Limit Theorem
Big V(X), little V(X) - graph & estimate, also V(epsilon)
Big Point: If the assumptions do not hold for a particular estimation problem, then the conclusions do not necessarily follow and statistical inferences based on the conclusions might be misleading.
Level 2: The Proof.