chapter  19
42 Pages

Estimation and hypothesis testing

This chapter summarizes some of the key concepts in estimation and hypothesis

testing that arise in statistical and econometric work in economics. Section 19.2

discusses estimation, unbiasedness and efficiency. The behavior of sequences of

random variables in terms of long-run averages and the distribution of such aver-

ages is considered in Sections 19.3.1 and 19.3.2. The fact that the mean of a

sequence of independently and identically distributed random variables has a sta-

tistical distribution approaching a normal distribution is an important observa-

tion used in hypothesis testing. Hypothesis testing is discussed in Section 19.4.

Finally, these techniques are applied in the context of econometric models in

Section 19.5.