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In statistics, a consistent estimator or asymptotically consistent estimator is an estimator—a rule for computing estimates of a parameter θ 0 —having the property that as the number of data points used increases indefinitely, the resulting sequence of estimates converges in probability to θ 0.
An estimator or test may be consistent without being unbiased. [3] A classic example is the sample standard deviation which is a biased estimator, but converges to the expected standard deviation almost surely by the law of large numbers.
A consistent estimator is an estimator whose sequence of estimates converge in probability to the quantity being estimated as the index (usually the sample size) grows without bound. In other words, increasing the sample size increases the probability of the estimator being close to the population parameter.
Horowitz in a recent review [1] defines consistency as: the bootstrap estimator (,) is consistent [for a statistic ] if, for each , | (,) (,) | converges in probability to 0 as , where is the distribution of the statistic of interest in the original sample, is the true but unknown distribution of the statistic, (,) is the asymptotic ...
We have two estimators for b: b 0 and b 1. Under the null hypothesis, both of these estimators are consistent, but b 1 is efficient (has the smallest asymptotic variance), at least in the class of estimators containing b 0. Under the alternative hypothesis, b 0 is consistent, whereas b 1 isn't. Then the Wu–Hausman statistic is: [6]
In statistics, the method of estimating equations is a way of specifying how the parameters of a statistical model should be estimated.This can be thought of as a generalisation of many classical methods—the method of moments, least squares, and maximum likelihood—as well as some recent methods like M-estimators.
The OLS estimator is consistent for the level-one fixed effects when the regressors are exogenous and forms perfect colinearity (rank condition), consistent for the variance estimate of the residuals when regressors have finite fourth moments [2] and—by the Gauss–Markov theorem—optimal in the class of linear unbiased estimators when the ...
This is one of the motivations of robust statistics – an estimator such as the sample mean is an efficient estimator of the population mean of a normal distribution, for example, but can be an inefficient estimator of a mixture distribution of two normal distributions with the same mean and different variances.