Definition of Asymptotic Variance

Definition: Definition of the asymptotic variance of an estimator may vary from author to author or situation to situation. One standard definition is given in Greene, p 109, equation (4-39) and is described there as "sufficient for nearly all applications." It's:

asy var(t_hat) = (1/n) * lim_n->infinity E[ {t_hat - lim_n->infinity E[t_hat] }² ]

(Econterms)

Terms related to Asymptotic Variance:

• Asymptotic
• Asymptotic normality
• Asymptotically equivalent
• Asymptotically unbiased

About.Com Resources on Asymptotic Variance:
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Writing a Term Paper? Here are a few starting points for research on Asymptotic Variance:

Books on Asymptotic Variance:

• Greene, William H.. 1997. Econometric Analysis. 3nd edition.
  Macmillan Publishing Company.

Journal Articles on Asymptotic Variance:
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