Thomas Lumley • 6/27/2024

Estimator vs estimate

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This technical article delves into sandwich variance estimators in statistics, clarifying a common confusion between the estimator as a random variable and its specific value in a given dataset. It explains why the variance of the estimating function is not zero and discusses the implications for independent vs. dependent observations, using mathematical notation and asymptotic arguments.

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#Statistical Inference #Variance Estimation #Robust Standard Errors
Estimator vs estimate

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