Econometrics

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1)In one of the practice questions (question 4.06 ) under Quantitative-Analysis_-Gujarati,-Chapters-1--8-Document-1-(L1.T2), it says under sufficiently large d.f., the t, the chi-square, and the F distributions all approach the unit normal distribution...

Do they approach unit normal distribution or just normal distribution...

Regards

 

[David Harper CFA FRM]

Hi vinoth,

I might be imprecise by specifying unit/standard normal.

* But not for the student's t: this converges to unit normal.
* Chi-square http://en.wikipedia.org/wiki/Chi-square_distribution
* F distribution http://mathforum.org/kb/message.jspa?messageID=7342095&tstart=0

... so it seems to me there are instances of convergence to standard normal but it looks to me like, params depending, convergence is not necessarily to standard normal. So, I'm just not sure and therefore will revert this to "converge to normal" to be safe with respect to to F and Chi-square. IMO, without further research, i can only be confident about "unit normal" with respect to the student's t (such that, safest is: all converge to normal)

Thanks!
David