Thursday, October 18, 2012

Let's be Consistent

One of the standard, large-sample, properties that we hope our estimators will possess is "consistency". Indeed, most of us take the position that if an estimator isn't consistent, then we should probably throw it away and look for one that is!

When you're talking about the consistency of an estimator, it's a really good idea to be quite clear regarding the precise type of consistency you have in mind - especially if you're talking to a statistician! For example, there's "weak consistency", "strong consistency", "mean square consistency", and "Fisher consistency", at least some of which you'll undoubtedly encounter from time to time as an econometrician.