计量经济学英文版
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Appendix of statistics inference
Xi’An Institute of Post & Telecommunication Dept of Economic & Management Prof. Long
ห้องสมุดไป่ตู้
1 BLUE Estimator
• Gauss–Markov Theorem:
The least-squares estimator of 2
Given the assumptions of the classical linear regression model, the least-squares estimators, in the class of Unbiased linear
estimators,have minimum variance, that is, they are BLUE.
1.2 MINIMUM-VARIANCE PROPERTY OF LEAST-SQUARES ESTIMATORS
The least-squares estimator b2 is linear as well as unbiased (this holds true of b1 too). To show that these estimators are also minimum variance in the class of all linear unbiased estimators, consider the least-squares estimator b2 :
Xi’An Institute of Post & Telecommunication Dept of Economic & Management Prof. Long
ห้องสมุดไป่ตู้
1 BLUE Estimator
• Gauss–Markov Theorem:
The least-squares estimator of 2
Given the assumptions of the classical linear regression model, the least-squares estimators, in the class of Unbiased linear
estimators,have minimum variance, that is, they are BLUE.
1.2 MINIMUM-VARIANCE PROPERTY OF LEAST-SQUARES ESTIMATORS
The least-squares estimator b2 is linear as well as unbiased (this holds true of b1 too). To show that these estimators are also minimum variance in the class of all linear unbiased estimators, consider the least-squares estimator b2 :